To answer the question directly, yes, many are shot on film. Thats because many of those films that win the big awards at big fests also have very good scripts, good talent, good lighting, good sound, and a large enough budget that they can also choose to shoot on film (which to shoot on super 16 or so is really not all that expensive on a typical $2m budget). The films themselves are very high quality and very enjoyable regardless of what format they were shot on, but of course the fact that they were shot on film does add a certain aesthetic quality to it.
I believe you will also find that pretty much any movie that has garnered critical success in any arena, shot on digital or film, had much less to do with the camera used and much more to do with the elements inside the film. Of those films listed above, I would venture to say that all of them chose to shoot in digital because of aesthetic or mobility reasons, not because that was all they could afford. For instance, Dancer In The Dark is listed as having a 12 million dollar budget. Open Water would have been VERY much more difficult to shoot on film, not to mention the aesthetic quality would not have lent itself as well as the documentary-esque real-life feeling of video.
If its a simple question of, "Can I buy an off the shelf camcorder and make a movie good enough to go to Sundance and win an award?" I will guarantee you it is possible. But it won't happen without all of the other components that go into making an award-winning film such as high production values and some interesting angle to it which usually is construed as but is not necessarily a marketing point. Of that last point, I'll give you an example. Napoleon Dynamite was not a marketing darling until the humor of the film is exposed for what it is, and suddenly people everywhere are wearing Vote for Pedro t-shirts and talking about ligers. The leads are not names. The director was not a name. It was shot on 35mm (appropriately styled I might add) but with no digital intermediate, no explosions or car crashes, no CGI, not really anything to market other than its quirky comedy which I could fill buckets with movies that never go anywhere. The key was in its fresh and fun and IMO G-rated script and dynamic acting. This got the crowds buzzing about such a fun film and the next thing you know people are quoting lines from the movie in the grocery store.
So there you go. Make the best movie you can with the best equipment you can, and the rest of the best production techniques you can manage and try to make a film people will want to see rather than a film that can win awards and I think people will respect it and want to watch it, rather than berate it as a film that tries too hard.
I would make a point about our festival, Lakedance, giving awards to digital films, we don't care what it was shot on, but I don't think thats what you're asking about here.
EDIT: I should also add, many of those films are shot on film because they expect a theatrical release and therefore have a print.
