Honorable mentions:
-Tetsuo: The Iron Man
-A Ghost Story
-Primer
-The Blair Witch Project
-Aguirre: The Wrath of God

Second honorable mentions for films that had to be left off the list for exceeding my cutoff of $1,100,000 or that I could not find a budget on:
-What We Do in the Shadows
-Angel's Egg
-Lake Mungo
-Phantom of the Paradise
-The Cremator
-The Reflecting Skin
-Perfect Blue (the figure on IMDB sounds extremely implausible)
-Nekojiru-Sō