I watched Kiss Kiss Bang Bang recently and really appreciated his performance in that movie. He’s one of the original “indie stars” of my generation. Sorry to see him go.
Never seen any of those, I'd have mentioned Heat instead.
Also star of Real Genius
I mean, I would probably have highlighted his starring in Top Secret! first, considering it was his break-out role, and he is excellent in that film. And also that Top Secret! is an excellent film, that too few people have seen.
I highly recommend his autobiographical documentary Val (2021). I also recommend the absurd comedy Top Secret! (1984), his first movie.