These are some that are in my instant queue right now - some of which I've seen, some not:
Holiday (Grant/Hepburn)
Bonnie and Clyde
Monsoon Wedding
Inland Empire
Murder by Death
Manhattan Murder Mystery (not Woody's best, but fun, I think)
My Best Fiend: Klaus Kinski
Ordinary People
Eternal Sunshine of the Spotless Mind (always good for a re-watch!)
Alice
Who's Afraid of Virginia Woolf
The Fisher King