I love Sci fi but I'm very picky

The common factor seems to be more grounded Earth-based sci-fi with a smidge of horror and perhaps some mystery, rather than space battles.
In that case, films and TV:
Early Cronenberg up to eXistenZ (perhaps Crimes of the Future, if you really like that)
Society
The Faculty
Save the Green Planet
Under the Skin
They Live
The Mist
A Quiet Place
Cube series
Slither
Splice
Splinter
The Reanimator series
From Beyond
Phantasm series
Tetsuo
Cloverfield (and 10 Cloverfield Lane)
The Host
Predator series
The Void
Fringe TV series, as you liked The X-Files. I presume you have watched Millennium?
BrainDead (2016 TV series)
The Suicide Squad and Peacemaker TV series
Truthseekers (2020 TV series)
Lovecraft Country - book and series
Eerie Indiana
Ultraviolet (1998 UK TV series)
Tokyo Gore Police and others by the same team, like Meatball Machine and Machine Girl
Gantz
The Girl With All the Gifts - book and series
Timecrimes
Pi
Bad Taste
Grabbers
Body Melt
Wild Zero
Pontypool
The Objective
District 9
Firebase and have a look at the others they have done, especially Zygote
Love, Death and Robots
Matango
Xtro
John Dies at the End - read the books first
Frankenstein's Army
Overlord
Quatermass and the Pit, as well as other Quatermass films and series
The Deadly Spawn
The Man With X-ray Eyes
Village of the Damned (1960)
The Illustrated Man (1969)
Take Shelter
And one with spaceships in it: Starship Troopers
- That goes a little too hard into horror, so also try:
  The Truman Show
  Eternal Sunshine of the Spotless Mind
  Looper
  Source Code
  Minority Report
  12 Monkeys
  Donnie Darko
  Vanilla Sky
  Dark City
  Being John Malkovich
  Although they are all pretty obvious. Might have to ponder this more.
  edit: also:
  The Arrival (1996) - instead of Arrival that I'll assume you've seen
  Resident Alien - TV series and comics
  How to Talk to Girls at Parties
  Rupture (2016)
  The Watch (2012)
  Alien Raiders (2008)
  Threshold (2005 TV series)
  Invasion (2005 TV series)
  The Forgotten (2004)
  
  This is a great list!
  12 monkeys is also a series. It's not as good as the movie, but still amazing.
  Edit: more into the light scifi genre, Jennifer Government
- Adding to this, Devolution by Max Brooks. Book only
  I also like earth based hard sci-fi with some mystery and horror. This book hits all three points, and is very character driven on top of that.

Read the expanse series if you haven't. It's good. Bio of a space tyrant is pretty good too, but definitely less hard sci-fi.
If you want something very different, try Malazan Book of the Fallen. It's fantasty, but the world building is outstanding.
- Malazan Book of the Fallen is one of the best brick walls I've ever put my head through.
  
  Lmao.
  It's a lot, that's for sure. I'm on my first time through, and on book 5.
  My friend got me hooked on them after my 3rd read of the Wheel of Time (speaking of brick walls)
- Second the expanse. I'm on the second book of the series and already bought the next two from the used book store. Very good and easy reading.
- I think these are good recommendations, just not for OP.

Have you read any Iain M Banks’ The Culture novels? Incredible writing. Most of his books have interesting twists in them, some of which will fuck you up. They are the type of books that you wish you could read again for the first time. The author died in 2013 so there are no more coming.
Consider Phlebas
The Player of Games
Use of Weapons
The State of the Art
Excession
Inversions
Look to Windward
Matter
Surface Detail
The Hydrogen Sonata
Other SF books by Banks:
Against a Dark Background
Feersum Endjinn
The Algebraist
- Is that first one all one book. If not, give me some commas please.
  
  Sorry, formatting error. Should be clear now.
- This right here is the way. If you've never read Ian M Banks. Go read some.

Looks to me like you’re in the sci fi/thriller genre. There’s a lot in that category. Seems you like the classics too. Have you tried Phillip K. Dick? Dracula might be your cup of tea also.
- I didn't personally enjoy Blade Runner or do androids dream of electric sheep, maybe I should give some of his other works a go though. I know he's considered an OG. I subscribed to the Dracula mailing list thing so have been reading it for about half a year now haha
  
  Look at Richard K. Morgan. He wrote the Altered Carbon books. The first season of the tv show is ok, the second not so much. The animated one is pretty good. However the books are outstanding. There's two other books not in the Altered Carbon world that you might like better: Thin Air and 13teen.
  
  Try Minority Report or other Dick adaptations like A Scanner Darkly, Total Recall (original), The Adjustment Bureau, etc.
  
  If you want to give him another shot, I’d actually recommend his short story anthologies. I feel like Dick excels with bringing an interesting idea or twist to a story, but is weaker with character development. In a short story, his strengths are accentuated and his weaknesses are diluted or eliminated.
  Two titles to look for are “The Father-thing” and “I Hope I Shall Arrive Soon”.
  In fact, many of his stories that turned into feature films started as shorts. “Minority Report”, “Total Recall” (originally “We Can Remember it for You Wholesale”), and “Paycheck” were all short stories originally, and hit all the harder for being shorter and more focussed.

slaughterhouse five
If you like S5, all of Kurt Vonnegut's works are great. Try Sirens of Titan.

You seem to like character driven stories with fantastical elements. The stories you list I put in the category of "weird shit happens to people" which is distinct from space operas and world building, which is most of sci-fi.
You might want to look at the nightside books by Simon Green, for pulpy action mysteries in a fantastical London. American Gods by Neil Gamain for a world just beyond our sight. Or maybe even Horrorstöre by Grady Hendrix for a haunted IKEA.

Some of my all time favorites:
Project Hail Marry, Andy Weir. He did "the Martian", similar tone of semi-hard sci-fi with a healthy dose of cheeky humor. Much bigger and more interesting scope.
Seveneves, Neil Stevenson. Absolutely amazing read. Pretty heavy at times.
The wool ombinus and shift, Hugh Howly. It's the series the silo show is based off of. Absolutely fantastic. They're doing a great job with the show but I love the books. One comment: The first book, the wool "omnibus" started as some short stories that Howly just kind of did out of passion. For better or worse, the series tends to get a bit lighter as it goes on because Howly started finding success and I think was just in a better place in life. Those first few chapters of the omnibus (which used to be their own stories) hit like a freight train. When reading remember originally you didn't have the benefit of feeling how many pages were left in the in the book; that gut punch was the end. That was it. There was no more.
For series:
Startrek strange new worlds is perfect if you like trek. It's exactly the right level of camp, but still gets weird. It's hard to explain, and it might not be your cup of tea, but they really captured some of what made TOS magical.
The expanse show is amazing. Especially if you like it when people treat space realistically. I mean, it's still fiction but they put a lot into what both surviving and commuting in space would be like. It's like when Europeans started coming to the Americas: You could do it, the boat could handle it, but it was pretty rough.
If you liked the Anhelation move, American Gods might be worth a try for you. Same kind of dreamy feel. I don't know if I'd really call it "sci-fi" but it's weird and wonderful and visually amazing.
For all mankind is fantastic, but different seasons may be divisive for some viewers lol. I loved them all in different ways
Fringe was an absolutely modernized x-files for a while
Legion is trippy as hell and one of those "you'll love it or hate it" shows.
Pennyworth is a weird romp through steam-punk through 50s/60s London and a lot of fun (it's barley connected to anything batman)
Doom patrol is another fantastic odd one that you'll know pretty quickly is or isn't for you
Severence. I would have been happier if they told the story as a 1 season shot but it's a great ride
edit: wanted to add some love for my boo Stargate. It's campy at times. It's corny at times. But I loved all of them, SG-1, Atlantis, and yes even SGU. You should be aware though that SG-1 and Atlantis are tonally pretty easy breezy, and SGU made a hard right in quasi-grimdark territory. I loved it but it's divisive for that reason.
Movies:
Moon. The one with Sam Rockwell. Absolutely fantastic.
Contact, with Jodi Foster. Not exactly obscure but doesn't get the mentions it deserves.
AI is worth a re-watch with some context. It's best viewed as Kubricks last film. Movies with Mikey did a great episode on it that had me appreciate it way more
Ex_Machina is really well done, even if the central point had a much shorter shelf life than anyone expected when it came out.
Gattaca, if only because it absolutley nailed an uncomfortable amount of things.
predstination
The newer planet of the apes trilogy. There's no shortage of praise for this one but I feel like it still flys under some peoples radar as another popcorn schlock cash grab
Sunshine. An absolutley brutal and beautifully done hard sci-fi watch.
Vivarium. If you like the feeling of being in liminal space this is a feature length film that will give you that.
In this order: "resolution" (2013), "The endless" (2018),
The void
- Oh man I can't belive I forgot to include Severance, best show of 2022 in my opinion. I totally agree with you about it ending after season 1, I think they wrapped it up perfectly. I also wish they'd done that with the OA. I do think Severance would have been better if they'd included less "outie" stuff and/or introduced it later - don't want to spoil this for anyone else reading but I think the moment you see Mark's face change from fear and devestation to a completely neutral expression (you know the one) would have been a perfect time to start introducing the outside world.

so, shameless plug for my favorite scif movie- the Day the Earth Stood Still. the 1950's version, not the remake.
It's not action, it;s more drama. it's also a classic for a reason and it;s still poignantly relevant.

Couple movies I didn't see mentioned yet (lots of good suggestions in this thread) to consider:
Coherence (2013)
Strange Days (1995)
And for books:
"Remembrance of Earth's Past" trilogy by Liu Cixin
"Children of Time" by Adrian Tchaikovsky
- I've been going through all these suggestions with my friend trying to figure out where to start, and we ended up watching Coherence at like 2am last night. I loved it thanks so much for recommending!
  
  Awesome, glad you enjoyed it! The "making-of" info around the movie is pretty wild too, especially that there was no script. The full version of Coherence Explained by Director Jim Byrkit (trailer) was pulled from YouTube but it was pretty interesting.
  It's more horror than sci-fi but I also really enjoyed Triangle (2009) if you run out of everything else to watch :)

St. Lem "The Invincible".
- I just purchased this. I'm excited to read it but it's a few books down on the pile yet. I purchased the new translation from Bill Johnston.
  
  Brace yourself for a good chunk of hard-SF. It's slow paced, but there's the feeling of unknown, a conviction that there's a monster hiding in the dark, much like the Organism from the Thing.
  Have fun.

If you liked Annihilation, give Roadside Picnic a try.
Also I have a feeling you might be looking for a more literary style, so I recommend Robert Silverberg as a start.

Well, since when I saw the trailer for Annihilation I started shrieking with joy because I thought they were doing a movie adaptation of Ian McDonald's 1995 book Chaga (which annihilation - at least the movie version - straight up rips off and riffs on) I can wholeheartedly recommend that one to you. The US pressing sometimes has the title Evolution's Shore instead.
I think you might also like China Mieville.
- I'll definitely check it out! Book Annihilation is very different than movie Annihilation although until I read Chaga I can't really give an opinion on whether it's ripping off anything from it. I did a fair bit of research about the book for a university essay and didn't find any secondary sources comparing the two that I can remember.

Can anyone recommend where I could get short sci-fi horror stories? Even for audio listening like a podcast.
My love for aliens, space, etc was born from Alien, Star Wars, and even wierd movies like Splic despite it being kind of meh.
I absolutely love Arrival, The Martian, Interestellar, and even Ad Astra.
Even more so I love horror being thrown into the mix and I want more of it. My love for sci-fi grew even larger with video games like Halo and more recently Stellaris.
I loved Annihilation and Dune as books. I am almost finished with the last book of The Three Body Problem series and the last book is a tough read. The Dark Forest is easily the best of the three so far.
I saw a massive list on this thread and have book marked it for later but I love listening to sci-fi horror. Every now and again, The No Sleep Podcast will tell a Science Fiction Horror story and I just want more.
- https://pseudopod.org/ for horror
  or
  https://escapepod.org/ for sci-fi
  There are a few shows from each that cross over a bit. It's been years since I listened so I can't attest to the current quality but I enjoyed it when I listened.
  I have a few short story compilations that I like but not many are in the sci-fi horror genre. I did really enjoy Voyage of the Space Beagle which reads kind of like a bunch of short stories. It's been said that it was one of the inspirations for Alien.
  
  Thank you for this!
- Have you listened to Alice isn't Dead? It's in a sort of grey area where it could be interpreted as sci fi or supernatural horror. It's by the creators of welcome to nightmare but way more suspenseful and creepy with less of the light hearted comedy elements.