I am trying to find out the name of a movie that, I think, has James
Caan in it.  The movie is about Caan's character who dies and goes,
via mass transit, to a sort of modern purgatory complete with
skyscrapers and lawyers.  In fact, his case to get into heaven is
presented by an attorney.  After an unexplained absence, Caan's
character's attorney finally says that he was gone because,"I got
trapped in the inner loop of thought."  What is this freakin' movie
called?  I think it is Caan in this film but I could be wrong.  Just
some additional info:  There is one scene that takes place after the
character has died and he is on an airport shuttle and then an
airplane on his way to this place that I referred to as purgatory
although I'm not sure that is what it's called.

I think you are talking about an Albert Brooks'movie (and not a James
Caan's one). The movie I think you're looking for could be "Defending
your life" (http://us.imdb.com/Title?0101698) and you could find it in
Amazon without problems
(http://www.amazon.com/exec/obidos/ASIN/B000056WRG/ref=ase_imdb-adbox/104-8460205-2739963).