They Live (wiki, IMDB) is a movie about a man who is down and out with nothing left to lose. Until, that is, he gets a special pair of sunglasses which allows him to see the world the way it really is. It turns out our world is governed by aliens that treat humanity as a banana republic.
It’s worth noting that Duke Nukem 3D (and the character) took a lot of inspiration and lines from They Live.
They Live is based on a short story called Eight o’clock in the morning by Ray Nelson. Hat tip to Mike for finding that.
You can watch the full movie on Google Video (remember that?).