Martin Scorsese’s Shutter Island (2010)—about a tortured-minded police officer’s investigation into a mysterious hospital—was filmed entirely under cloudy skies.
The bad weather gets worse as we get deeper into the plot.
It only changes at the end of the film, when the sun appears during the final scene.
Far from being a purely aesthetic choice to serve dramatic tension, Scorsese constructed this atmosphere in direct reference to Freud, who described the subconscious as a cloudy time where confusion reigned, as opposed to the clear sky of consciousness.