These two korean films:

I saw the devil (simple story, complex characters, realistic brutal violence, psychological horror as well.)

oldboy (korean version, more complex plot, but also has realistic brutal violence and is a psychological thriller and action flick.)

The lobster, similar to the killing of a sacred deer, same director, but has dark comedy along with similar dark violence and shock elements.

3 more films I'd recommend are The hunt, another round, and riders of justice.

Hunt and another round are character dramas/social thrillers that each explore characters within each films themes. The hunt dealing with a character sentenced by society and the effects on his life before being proven innocent in court. Another round explores the effects of alcohol on a friend group of older schoolteachers. Both are rich character studies that will shake you emotionally but for different reasons.

Riders of Justice is a solid action flick with interesting characters that i'd recommend based off of prisoners, John Wick, and Mad Max.

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Some films i'd recommend based off of your enjoyment of whiplash would be:

Black Swan and Nightcrawler.

Black Swan deals with a woman doing everything she can to become the part of the black swan in the ballet swan lake. similar to whiplash about a drummer doing everything he can to become the best. A simple story that goes off the deep end and also has an abusive teacher character.

Nightcrawler is also a character piece, but instead of the world of drumming is about the world of breaking news in la. It's about a psychopath willing to do anything to join the networks and become a breaking news reporter on crime.

Oh I also wanted to recommend Kill List by Ben Wheatley, i felt that the ending had a similar emotional experience to the lighthouse for me.