I see this topic has been a little abandoned, so here I am ! :D
It's impossible for me to pick just one favourite movie, so here are my five ones :
by Luc Besson (it's both funny, sad, the plot, soundtrack and characters are great and the acting is excellent -Natalie ! :D-)
Thelma & Louise
by Ridley Scott (I love road movies, and the story is pretty cool)
by Christopher Nolan (visually stunning and emotion-packed, a masterpiece even though there are some incoherences sometimes)
by Terry Gilliam (absolutely insane, unhealthy, weird and glaucous, but yet very beautiful in its own way. Plus Jodelle Ferland is so damn great.)
The City of Lost Children
by Jean-Pierre Jeunet and Marc Caro (The story, the characters, the actors, the visuals, everything in this film is wonderful and excellent. And it's a French movie, yay ! :D)
There are a lot of other films I love (like the entire Guillermo del Toro collection for example, or Quentin Tarantino's films, Sofia Coppola's, Gregg Araki's...), but these ones were the first that came to my mind.
Note that Terry Gilliam's The Adventures of Baron Munchausen
doesn't count, because actually it's the first movie I've ever seen (by the age of two), and since then as it's such a wonderful piece of cinematographic art (I insist on that, and if you don't know this movie then go watch it !) I watch it about three or seven times a year. Now it's not even just a masterpiece film for me, it's a golden object of worship ^^' So that's why I didn't put it on the list.