Donnie Darko was the lead character played by Jake Gyllenhaal in the movie of the same name. Donnie Brasco is the name of a movie starring Johnny Depp who plays an undercover infiltrating the Italian-American Mafia, which was based on a true story.
Milo creates a stark image here comparing someone who made no attempts to fit in and really actively attempted to be different (Darko) to someone who, for years, lived a completely false life (Brasco). He is explaining here that he would rather fit in than be intentionally different because it sometimes makes for an easier life.
He expands upon this more in the next 3 lines.