Wow great comment and points I'd never thought about "The Matrix" on that level before and was not familiar with Baudrillard.
I guess another movie aside from "The Matrix" that questions reality and our ability to perceive it is "Inception."
I think there are similar theories and groups of thought as to whether dreams might be different realities that we are experiencing and which is more valid, our dream experiences or waking life.
And of course "Waking Life" is an awesome movie on Existentialism.