Can't believe that no-one's mentioned Ma Vie (also known as Ma Vrai Vie a Rouen and it has an American title too) and Drole de Felix. Both on a par with Brokeback Mountain (and miles better than Eating Out, for example). Most of the gay films distributed by Parasol Peccadillo are pretty good.
Not really 'gay', but Y Tu Mama Tambien is certainly worth watching.
Also Transamerica is fabulous, if only for Kevin Zegers.