don't think i can offer much here, but I can offer movies like the ones you listed here
Immortel (Ad Vitam) is Bladerunner, Dark Cityish, though beware it's very weird
Jacob's Ladder is a straight up horror film, but deals with a notion of the afterlife roughly similar to Grim Fandango's.
Casablanca is definitly a must as the game was mostly based off of that movie, though not really any detectives to speak of.
If you're really thrusty for some privite eye stuff, you could also check out the Dresden Files on the sci-fi channel, cross between a privite eye and harry potter.
Also most Tim Burton films have the dark sense of humor, especially the animated ones, but not many private eyes.