The entire vengeance trio is amazing, but I actually like Sympathy for Lady Vengeance the most. Park Chan-Wook's I'm a Cyborg, But That's OK is good too. You should check out Battle Royale if you liked Oldboy.
That's funny, I thought Mr. Vengeance was the best...artistically...whereas Lady Vengeance was the "safest" of the trio. Mr. Vengeance is astounding in its depths...however, it's not a movie I'd ever put in just for fun. In fact, I can't remember re-watching it after the first couple of times I saw it.