Being that they're such a theatrical group, it's surprising that Slipknot hasn't appeared in more films, but there are two of note. One is the 2002 remake of Rollerball, in which they appear onscreen performing the song "I Am Hated," while current internet sensation Chris Klein hangs out with LL Cool J at a club -- by the way, Lost's Naveen Andrews also co-stars in the movie, if you need more Sayid after the show's finale. One of my favorite questions asked about the band's cameo in this -- from a commenter on the YouTube clip of the scene -- is why were the characters walking around and not moshing?
You can't really see Gray much in that film, though. A better film to watch in his memory would be Penelope Spheeris' Ozzfest documentary We Sold Our Souls for Rock 'n Roll, in which Slipknot appears as one of the touring bands. Unfortunately, since screening at the 2001 Sundance Film Festival and making the festival rounds that year, the doc hasn't really been legitimately available. But you can check out the whole film in segments on YouTube, including an amusing bit with the band being flanked by young fans in Washington, DC. One girl says she likes "The Pig" because he's alive and she's a vegetarian and so doesn't like dead pigs. Later Gray calls his hometown of Des Moines "the sh*thole of the U.S." while talking about the band's origins and then confesses to mostly masturbating when not performing.
The doc may not be as fun or amusing as Spheeris' Decline of Western Civilization trilogy (especially part II, The Metal Years), but it's an interesting concert film to check out, especially given that it was made before 9/11, and guys from metal bands wearing scary masks and Gitmo-like prison jumpsuits wandering around the Mall in DC wasn't quite as disturbing as it would be a few years later.
Check out the Slipknot scene from We Sold Our Souls for Rock 'n Roll below ...
And heck, while you're here, check out the Slipknot scene from Rollerball, too: