Concerning Dune, I guess there are a few versions floating around in bootleg form. But I think the longest cut is ADMs reconstructed workprint, which should be somewhere around four hours long. The only commercially available ones are the theatrical version (137 minutes) and the extended version (177 minutes) I believe. I don't know what that guy was talking about when he told you there was an eight hour long version, probably he was talking about the miniseries that came out about 7 years ago. Anyway, you don't have a lot of versions to worry about, you can either go with the extended or the theatrical, both versions are in the most recent DVD release.

As far as suggestions go,

One of the best movies ever made and it isn't really scary, The Last Man on Earth, staring Vincent Price. Very thought provoking (if you are into mythology of any sort), especially if you have read I Am Legend by Richard Matheson.

Someone mentioned A Clockwork Orange. Excellent movie, very thought provoking on many levels. Can be a little depressing. So it fits your criteria. But I wouldn't watch it with a girl friend. It has tons of nudity, and a couple of rape scenes. Could be just me, but I wouldn't like watching it with my girl friend.

Phantom of the Opera is a good chic flick that can be thought provoking if you really focus on the whole unloved beast child thing, but I don't think the movie did as good of a job depicting that as the stage version did.

Probably one of my all time favorite movies is Lewis Milestone's All Quiet on the Western Front. Very beautiful film.

Another film that is defined by the words thought provoking and depressing is Terry Gilliam's Tideland. Unfortunately the thought it provokes most often is "Why did I sit down and watch this tripe" which is ashame because there is a lot more there.

A few others I can think of:
Dr. Strangelove (comdey)
A Perfect World (sentimental as hell, but I liked it for what it was)
Brazil
Casablanca
Strange Brew (not thought provoking in the slightest, in fact you will probably find your intelligence drops after watching it, but it is totally worth it)
Soylent Green

Blade Runner