I second any mentioning of Titus Andronicus. Such a delicious work, wink wink.
Plenty of Westerns are wonderful self-destructive revenge tales, although the only one I can think of right now isn't even a movie/book, but rather, the Red Dead Redemption games.
Though they are very very much a product of their time, virtually every story in the Sin City anthology is a beautifully done revenge tale, though I strongly recommend the graphic novels over the movies
Edit: How could I forget Sweeney Todd; so bloody brilliant