Returning to New York, Davis became a critics' darling for her stage work, particularly in two plays by Nicky Silver: "Pterodactyls" (1993) and "The Food Chain" (1995). In the former, she was the neurotic daughter of a highly dysfunctional family while in the latter, she was the flighty wife of a man who has disappeared. At the time she was receiving raves for her stage work, Davis could be seen on the big screen playing the girlfriend whom Nicolas Cage "bench presses" in "Kiss of Death". She went on to play Ellen DeGeneres' happily married younger sister in "Mr. Wrong" and a love-obsessed documentary filmmaker in "Guy" (both 1996). She landed her first leading role in 1996 as well. In Greg Motolla's "The Daytrippers", Davis was cast as a suburban woman who suspects that her husband is cheating on her and drives around Manhattan with her family trying to track him down to prove it. Although her role was mostly re-active and she had few lines, she was the dominant presence in the piece. In "Next Stop, Wonderland" (1997), Davis played a lonely nurse who finds true love and was alongside Julianne Moore, Blythe Danner and Noah Wyle in the family drama "The Myth of Fingerprints" (also 1997). The actress became part of actor/directors Stanley Tucci and Campbell Scott's unofficial troupe of players, appearing in the ensemble casts of both "The Imposters" (1998) and "Joe Gould's Secret" (2000). She also continued to appeaer in mainstream films, adding her beguiling yet haunting presence to "Mumford" (1999), "Arlington Road" (1999) and "Hearts In Atlantis" (2001). She also teamed with her "Imposters" co-star Oliver Platt for the short-lived TV drama "Deadline" (2001), playing the ex-wife of Platt's hard-boiled reporter character. Receiving perhaps her most exposure yet, she landed the plum role of Jack Nicholson's wayward daughter, about to marry into an eccentric family, in writer-director Alexander Payne's dramedy "About Schmidt" (2002). She had a compelling turn opposite Campbell Scott as a pair of married dentists whose satisfying but emotionally distant family life spirals out of control when the husband begins to suspect infidelity on her part in "The Secret Lives of Dentists" (2003), and won critical plaudits for her quirky portrayal of alternative comic book writer Harvey Pekar's equally eccentric wife Joyce Brabner in the highly praised indie biopic "American Splendor" (2003).

After a brief hiatus from the screen Davis returned in force in 2005 with a highly effective turn as Gwyneth Paltrow's over-controlling, unempathetic sister in director John Madden's film adaptation of David Auburn's Pulitzer Prize-winning play "Proof," followed by a turn as the flummoxed ex-wife of Nicolas Cage's existential-angst-ridden Chicago weather forecaster in director Gore Verbinksi's seriocomic "The Weather Man."