This is tough to narrow down. In no particular order, these films have drawn me to multiple viewings. You may call them favorites if you wish:
Children of a Lesser God (1986), Randa Haines (I watch this at least once every 2 years)
The Punk Singer (2013--Documentary), Sini Anderson
Zero Dark Thirty (2012), Kathryn Bigelow
Wayne's World (1992), Penelope Spheeris
Winter's Bone (2010), Debra Granik
Brave (2012), Brenda Chapman (Note: she co-directed, but I'm counting it--seen this movie 20 times--I have a 6-year-old daughter
)
Big (1988), Penny Marshall
Citizenfour (2014--Documentary), Laura Poitras
Selma (2014), Ava DuVernay
Little Miss Sunshine (2006), Valerie Faris (Note: she co-directed)
For your consideration:
Top of the Lake (2013), Jane Campion (This was a 'series' that I watched through twice--many felt it was slow, but I saw it as a 'slow' build)
Edit: corrected "Citizenfour" into a single word. Was split into 2 via autocorrect.