I just recently watched Sucker Punch and I do have to agree that it is a complex movie.
My definition of a complex movie is that a complex movie has to have a complex plot and storyline. By that, I just don't mean a sort of "american" hero that saves the day at the end of the movie. Complex movies needs plots that are twisted, mind blowing and that is so hard to follow that when the climax and ending comes, that it is totally unexpected.
And for that, movies such as Lucky Number Slevin, Snatch, Sucker Punch, Fight Club, Ocean's Eleven, Ocean's Twelve, Ocean's Thridteen, All the Saw movies (when you see beyond the murders) and The Matrix are complex movies for me
Oh and a complex movie can be funny too. Like Snatch xD