These guys are so good I can't pick just one movie but here's my list, in alphabetical order:
The Coen Brothers - Fargo, Miller's Crossing, Blood Simple, and, of course, The Big Lebowski
Clint Eastwood - Unforgiven, Mystic River, Million Dollar baby
Martin Scorsese - GoodFellas, Casino. (I would say The Departer, but John McFetridge is following this thread, and I know better.)
Ridley Scott - Alien, Blackhawk Down, Thelma and Louise
Steven Spielberg - Saving Private Ryan, Schindler's List, Jaws.
John Woo-The Killer. Completely changed the way action movies were made.
Tarantino-Pulp Fiction; again, changed the industry (for better or worse.)
Scorsese-Departed or Good Fellas, a toss up.
Coen Brothers-Fargo, and No Country for Old Men. Sheer Brilliance.
Ernest Dickerson-Juice. Ok, i'll admit, this last one is a personal favorite of mine, but only because of the character of Bishop (played by Tupac Shakur.) The single most sociopathic hoodlum you will see in a movie ever. If you haven't seen it, dont say anything until you've watched the movie.