Fear X (2003)

Harry Caine (John Turturro) is a mild-mannered mall cop whose pregnant wife is killed in the underground parking lot where he works. It seems it may have been a contract killing, and Harry becomes obsessed with finding out the details. His investigation eventually takes him to a Montana town, where reality becomes unhinged for him, and he remains disturbingly unfazed by the wintry conditions and eccentric characters. In the end, he's not looking for revenge, just for the reason behind it all.