The first time I was really struck with this idea was actually in a Garfield comic book. In it, various versions of Garfield were presented by different artists. In one, Garfield is a space pilot whose entire life and death experience turn out to only be a computer simulation. I don't know why the idea struck me so hard in such a lighthearted genre, but I remember the idea plaguing my dreams for months.
The second time I encountered this idea was in Plato's concept of the cave. In this philosophy, all of our existence is just a shadow of what is actually true. We are prisoners of our senses, only willing to believe what we can directly experience.
Of course, the Matrix brought these ideas back to mind, but the other movie that brings me back to these thoughts is the Truman Show. In this movie, not only is the reality a fabrication, but it is observed. What appears to be an ordinary life is an inspiration to millions. I often wonder how that story continues past Truman walking out that final door.
I believe these stories and concepts stick with me because I recognize an underlying truth within them. This life is not the true reality. Reality as we know it is but a shadow of our true existence. Yet our lives are important and worth living as they inspire the life that waits for us beyond.