I've got two. Firstly, David Lynch. Mainly for Lost Highway and Mulholland Drive, which share similar themes. Both of them take a little working out, but they are both beautiful and have scenes in which you'll never forget.
Secondly, Stanley Kubrick. He made films in so many different genres, and several of his movies are candidates for the best in that genre. 2001: A Space Odyssey for sci-fi, Dr. Strangelove for comedy, Full Metal Jacket for war film, The Shining for horror. The man was an obsessive perfectionist, and it shows in his films.