Warning: Possible Spoilers
Silent Hill 1 and 3 offer glimpses into Metropolis and/or Inferno. Silent Hill 2 takes place in a Purgatory. Silent Hill 4 involves a Dream World.
Condemned: Criminal Origins and Condemned 2: Bloodshot involve parts of Metropolis, especially the Labyrinth.
The Suffering and The Suffering: Ties That Bind depict what would happen if something in the Illusion went horribly wrong and creatures from Metropolis and Inferno broke into mainstream reality and started going apeshit. Likewise with the Doom series, although the invaders in that series would strictly come from Inferno.
The X Files is what would happen if the former and present servants of the Demiurge were too incompetent to completely hide their presence, but still competent enough to make those who discovered them think they were aliens and Bigfoot and the Loch Ness Monster and shit.
True Detective demonstrates how you can fight the supernatural forces of evil (or at least the human servants of those forces) without ever realizing that there's anything supernatural going on. The cult in True Detective's first season is analogous to the Lodge in Kult.
Harvester depicts the standard recruitment procedures of a particularly weird cult in Kult. The same probably goes for Videodrome and Kill List.
Postal 2 is a depiction of life as a person with a low mental balance, almost no shame, a propensity for violence, and enough undeserved luck to actually enjoy insanity. Jacob's Ladder, Eraserhead, The Shining, and many stories in Fuan no Tane (Seeds of Anxiety) depict variations on the much more common and much less fun form of insantiy. Remember that insanity often results from or leads to supernatural experiences and encounters with Metropolis and other worlds.
EDIT: I just started working my way through Legions of Darkness and read about how the Death Angel Thaumiel is connected in the game to conflict in the Middle East. This led to the realization that Spec Ops: The Line is another great example of what (unpleasant) insanity might look like in Kult, especially if you want to focus on the "War is Hell" theme.
Blood is what happens when someone like the Postal Guy becomes an undead powerhouse and battles the forces of Astaroth on Earth.
Dawn of the Dead is what happens when the human race starts realizing en masse that they don't actually have to go to Inferno and decide to just hang around on Earth. There's plenty of room in Hell, but no one gives a shit.
1408 depicts a portal to a very strange part of Inferno. The Beyond and The Gate include such portals as well. Event Horizon has a portal to a pretty typical part of Inferno, but In Space.
Hellraiser, Cigarette Burns, Oculus, and strangely enough, Raiders of the Lost Ark show off the kinds of magic artifacts that players are likely to find in Kult.
Antichrist is an example of what happens when people are so eager to be punished for their sins that they can't even wait to die or travel to another world before getting started. Alternatively, it's what happens when people with low mental balance start dragging bits of Gaia into the mainstream reality.
As Above, So Below demonstrates how going far enough underground in a city on Earth can lead one to the Labyrinth in Metropolis.
Absentia shows how a stray portal to Metropolis can ruin the lives of innocent people who don't actually go through the portal.
A Nightmare on Elm Street shows how Dream Magic can be used to terrible effect.
Dark City is...just watch it. It's great. Watch the director's cut if possible.
I make some more connections between Kult and other works in this post.