I love Bill Murray in everything I've seen him in.
I really enjoy him as Peter Venkman in Ghostbusters, and as Steve Zissou in The Life Aquatic. Also, Scrooged, and his small cameo in Zombieland is great too.
For me, one of Bill Murray's most memorable performances is in The Razor's Edge. The film wasn't as good as the adaptation starring Tyrone Power, and neither were as good as W. Somerset Maugham's novel.
But I love the story and the metaphysical journey of the protagonist in The Razor's Edge, and clearly Bill Murray did too. He co-wrote the script and made a deal whereby he would star in Ghostbusters as long as Columbia Pictures let him make The Razor's Edge first.
Of course, Murray's also great in lots of films that are mentioned in this thread.
I love Bill Murray in lots of things (not just in movie roles, he seems like a very cool guy). One performance that stands out for me is Mad Dog and Glory about a cop who's protecting a gangster's girlfriend. Robert De Niro and Uma Thurman star as well, if you haven't seen it I won't tell you who plays who but it's a pleasant surprise.
I still have a lot of Murray to see, especially his classics (e.g. Groundhog Day),but here's what I've seen ranked (by movie not performance).
1.Moonrise Kingdom
2.Broken Flowers
3.The Limits of Control
4.Ghostbusters
5.Osmosis Jones
6.Ghostbusters II
7.Lost in Translation
8.What About Bob
9.Zombieland
10.Spacejam (it's been forever)
11.Get Smart
12.Stripes
Favorite performance was probably his role in Lost in Translation.
Quite liked him in Scrooged one of my favourite Christmas films.
But my favourite role he played has to Dr Peter Venkman in Ghostbusters so if your reading this Billy get pen to paper and get signed up for Ghostbusters III.