I've only seen a few Leigh films, but I think they (especially Naked) are important for how they help define movies and the movie-watching experience. Most writer-directors delve into the experimental or unusual in order to provide the viewer with a self-test, but Leigh goes inside characters who represent facets of our own being that we'd rather not acknowledge.
Self awareness in art is never enjoyable for the audience; if it seems to be, then it's probably an avoidance of self-awareness. The inward journey doesn't necessarily have to be painful, but it probably shouldn't be fun, even if the outward journey is (example: Vertigo).