A Tale of Two Sisters is one of my all time favourites from Korea, wonderful psychological horror/thriller.
I've seen most of the important films from Park, like JSA, the excellent Oldboy and Sympathy For Mr. Vengeance(and will see Lady Vengeance also!). Really enjoy watching this director's work. He section Cut, from three Extremes is cool too, worth watching this.
Areece, Park didn't make Memories of Murder, that good film was made by Bong Joon-ho.
Volcano high is a fun movie, just don't watch the awful dubbed version from mtv, absolutely crap.
The Tube is still in my dvd pile to watch. One of the most expensive Korean films apparently. Shiri is worth checking out.
As is the two serial killer films H, and one of my favourites Tell Me Something.
The Big Swindle is excellent too.