More movies like 'The Comedy'.

Though not a movie, Bret Easton Ellis' Less Than Zero is very similar in its characters privilege, ennui, and numbness.

True Adolescents
Humpday
Passenger Side
Wendy and Lucy
My Effortless Brilliance
Jeff, Who Lives at Home
Me and You and Everyone We Know
. . .

Keith Miller's Welcome to Pine Hill for sure.

Not movies (though some have been made into movies), but there are a bunch of plays from the theatre of the absurd that have a lot of thematic similarities with this movie... unsympathetic characters, blend of dark humor and drama, intention to make audience uncomfortable (not awkward), looming threat of violence, heavy drinking, detachment, and especially dialogue. If you liked this movie I really recommend reading:

Edward Albee: Zoo Story, Whose Afraid of Viriginia Woolfe (also a movie nominated for 12 oscars), The Goat, Or Who Is Sylvia?, A delicate balance

Harold Pinter: The Birthday Story, The Room, The Dumb Waiter (In Bruges borrows a lot from this play)

Sam Shepard: Buried Child, True West

Samuel Beckett: Waiting for Godot, Endgame