Movies that revolve around imaginary and real character.

The Ward
The Shining (?)

Suicide Room sis. It's on youtube

 

Would Secret Window count?

 

Not exactly what you're looking for, but similar.

Jake's Closet:
It's about a little boy who is dealing with stages of divorce with his parents. He sees/hears/believes in something, which inhabits his closet.

It's a B-movie, so keep that in mind. The acting isn't the best, but seeing things through the perspective of a small child is interesting, so I tolerated it.

 

Not sure if it strictly qualifies, but a childhood (and still) favourite of mine is Drop Dead Fred.

I say not strictly because A: It's more or less a kids film, despite the occasional and well-placed use of swearing and mild sex references. And B: It is pretty much established in the film that the Drop Dead Fred of the title is an imaginary friend, although it is also shown that he exists independently because in the end he is seen having been past on to a new child.

The main character of the film Elizabeth ('Lizzie' played by Phoebe Cates, best known for her role in Gremlins), is a now grown-up woman who as a child was very lonely, with a cold and controlling mother who never shows her the slightest bit of affection. As a result she had an anarchic imaginary friend Fred (Rik Mayall) who would get into lots of mischief with her, such as throwing paint all over a neighbour's grandmother, playing burglars in her own house, and making a huge mud pie on the mother's fancy table. Lizzie's mother 'takes Fred away' and as a result Lizzie grows up to be repressed and unhappy. 21 years later, Lizzie is facing the break up of her marriage after her cheating and rather annoyingly smarmy husband leaves her. When her mother bullies her into coming back to her childhood home, Fred returns. The rest of the film is 'silliness with a heart'; Fred getting Lizzie into all sorts of trouble but simultaneously teaching her to become the person she always should have been and not to be afraid anymore.


Others that come to mind:

Donnie Darko. (Is Frank the rabbit real? Is Donnie just insane? Who knows!)

Identity. Can't say too much about this without giving the plot away, but it's a psychological thriller in which a group of individuals find themselves stranded at a motel during a rainstorm, where someone begins killing them off one by one.

Hide and Seek . Again, can't say too much without giving it away. It's a horror film. After the apparent suicide of his wife, a psychologist takes his daughter to live in a new house. The child begins talking about a new friend she has met called Charlie who is not seen. Strange and disturbing things start happening due to this 'Charlie'.

 

Drop Dead Fred is such a cute movie!

This may not strictly fit your definition, but I really enjoyed Lars and the Real Girl. It's about a socially isolated man who orders a sex doll and introduces her to the people in his life as though she is his real girlfriend. It's clear that the doll is not a real person, so it may not fit your concept there, but it is an interesting study of a man who is so lonely he conflates this sex doll with a real woman, constructing a back story for her as well as various reasons why she is how she is.