You should check out Public Enemies (he has a fairly small role, but easily the best scene in the entire film, right at the end) and The Hard Way, a great action comedy with James Woods where he plays a wonderful and totally psychotic villain. He's also in Tombstone which is a great film, but given the huge number of characters in it he doesn't really get too much to do sadly.
Did you know he originally auditioned to play Hicks? Doubly ironic then that he was cast as Quaritch in Avatar, because Michael Biehn was originally in the running for that.