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#5 - Color out of Space (2019) - Lovecraftian Horror
LITERALLY. It's an adaptation of the short story, and really quite a good one as it doesn't try to show what the Lovecraft's ever-present "unknowable" is, only the horrors left in its wake.
Cage also goes MAXIMUM CAGE, here.
#3 - The Ninth Gate (1999) - Neo-noir horror
A story where the journey is more interesting than the destination, which I'll warn you is quite ambiguous. Depp is hired to find a book, supposedly written by the devil, and the highly engaging hunt takes him across Europe.