| Year | Title | Role | Notes |
| 1988 | She's Having a Baby | Lab Technician O. Palmer | |
| Mystic Pizza | Josephina "Jojo" Barbosa | |
| 1989 | Say Anything... | Corey Flood | |
| Born on the Fourth of July | Jamie Wilson – Georgia | |
| 1990 | Bright Angel | Lucy | Nominated—Independent Spirit Award for Best Female Lead |
| 1991 | Dogfight | Rose | |
| 1993 | Arizona Dream | Grace Stalker | |
| Watch It | Brenda | |
| Short Cuts | Honey Bush | mw- Golden Globe Special Ensemble Cast Award (non-competitive)Volpi Cup for Best Ensemble Cast |
| Household Saints | Teresa Carmela Santangelo | Independent Spirit Award for Best Supporting Female |
| Rudy | Sherry | |
| 1994 | Touch Base | Darcy Winningham | Short film |
| Mrs. Parker and the Vicious Circle | Edna Ferber | |
| Prêt-à-Porter | Fiona Ulrich | National Board of Review for Best Acting by an Ensemble |
| 1995 | The Addiction | Kathleen Conklin | Málaga International Week of Fantastic Cinema: Best ActressSant Jordi Award for Best Foreign ActressNominated—Independent Spirit Award for Best Female Lead |
| Cold Fever | Jill | Seattle International Film Festival: Best Actress (also for I Shot Andy Warhol and Girls Town) |
| Four Rooms | Raven | Segment: "The Missing Ingredient" |
| Killer: A Journal of a Murder | Woman In Speakeasy (uncredited) | |
| 1996 | Plain Pleasures | Unknown | Short film |
| Girls Town | Patti Lucci | Seattle International Film Festival: Best Actress (also for I Shot Andy Warhol and Cold Fever)Nominated—Independent Spirit Award for Best Supporting Female |
| I Shot Andy Warhol | Valerie Solanas | Seattle International Film Festival: Best Actress (also for Girls Town and Cold Fever)Stockholm International Film Festival: Best ActressSundance Film Festival: Special RecognitionNominated—Chicago Film Critics Association Award for Best ActressNominated—National Society of Film Critics Award for Best Actress (3rd place) |
| Cosas que nunca te dije | Ann | Thessaloniki International Film Festival: Best Actress |
| Illtown | Micky | |
| Ransom | Maris Conner | Blockbuster Entertainment Award for Favorite Supporting Actress—Suspense |
| 1997 | Kicked in the Head | 'Happy' | |
| 1998 | OK Garage | Rachel | |
| The Impostors | Lily 'Lil' | |
| Come to | Angela | Short film |
| Pecker | Rorey Wheeler | |
| 1999 | A Slipping-Down Life | Evie Decker | Indianapolis International Film Festival: Special Jury Prize (shared with Sara Rue)Newport Beach Film Festival: Outstanding Achievement in Acting |
| The Haunting | Nell Vance | Nominated—Blockbuster Entertainment Award for Favorite Supporting Actress – HorrorNominated—Golden Raspberry Award for Worst Screen Couple (with Catherine Zeta-Jones) |
| 2000 | High Fidelity | Sarah Kendrew | |
| 2001 | Julie Johnson | Julie Johnson | |
| Gaudi Afternoon | Ben | |
| 2003 | Casa de los Babys | Leslie | |
| 2005 | Factotum | Jan | Copenhagen International Film Festival: Best ActressSan Diego Film Critics Society Award for Best Supporting ActressNominated—St. Louis Gateway Film Critics Association Award for Best Supporting Actress |
| The Notorious Bettie Page | Paula Klaw | |
| 2007 | Starting Out in the Evening | Ariel Schiller | |
| The Secret | Hannah Marris | |
| 2008 | The Promotion | Lori Wehlner | |
| 2009 | Tired of Being Funny | Lee | Short film |
| Brooklyn's Finest | Angela Procida | Nominated—Black Reel Award for Best Ensemble |
| Public Enemies | Sheriff Lillian Holley | |
| 2011 | The Pier | Grace Ross | |
| 2012 | About Cherry | Phyllis | |
| Being Flynn | Joy | |
| The Courier | Mrs. Capo | |
| Future Weather | Ms. Markovi | |
| 2013 | The Cold Lands | Nicole | |