Sam Rockwell has won an Oscar (and was also nominated for another film), but I don't think he gets anywhere near the acclaim, or the roles, that he should. Personally I think he's one of the best actors working today, he's been the best thing about some poor films.
A Weird one is Sylvester Stallone, people think he's some dumb lunkhead, but he's phenomenal in the first Rocky and just as good in Copland.