I've seen all the Woody Allen films that he both wrote and directed, and also the early two that he wrote but didn't direct - of which
Play it Again, Sam is highly worthwhile (especially if you like
Casablanca).
Of his numerous films, it goes without saying that some are better than others, and Woody Allen would be the first to tell you that. However, there's always things I like in each and every one of his films.
For me, Woody Allen possesses that rare combination (like Charlie Chaplin) of being able to make you laugh while posing tough questions about the human condition, relationships, etc. His movies consistently pay homage to icons of cinema and literature, from the Marx Brothers to Bergman, and from Sophocles to Dostoevsky. There are also regular references to psychology, psychoanalysis, history and philosophy. Few viewers (including me) grasp all his allusions - because most of us are not nearly as literate as Allen is.
As a professional jazz clarinetist, his scores are often infused with great jazz. And his scripts and finished products are some of the tightest around. He's a ruthless editor. Say what you want about him, but there is hardly ever any wasted space in a Woody Allen film.
Also, his films always have some of the best actors around because practically everyone considers it an honor to be asked to act in a Woody Allen film. And one of the best actors in his films is often Allen himself - again, expressing a unique combination of vulnerable emotion and masterful comedic timing.
In addition to his early slapstick-inspired, straight out comedies like
Take the Money and Run,
Bananas and
Sleeper (if that's your cup of tea; it's not everyone's), I'd recommend:
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Annie Hall (a turning point for Allen in terms of infusing his comedy with a very human story)
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Interiors (this is perhaps Allen's most introspective movie; decidedly not a comedy)
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Manhattan (Allen's love letter to the city; filmed in black and white, one of the most beautifully-shot films I've seen)
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Zelig (highly original concept and execution; very funny yet sad)
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The Purple Rose of Cairo (a heartwarming ode to those of us who get lost in the fantasy world of film)
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Hannah and her Sisters (an intimate look at three sisters and their relationships with each other and the men in their lives; a perspective not many men could pull off as successfully)
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Crimes and Misdemeanors (a Dostoevsky-inspired drama)
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Sweet and Lowdown (great portrait, acted by Sean Penn, of a frustrated jazz guitarist in awe of Django Reinhardt)
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Vicky Cristina Barcelona (a smart, sexy and thoughtful look at a complex circle of relationships)
My one-line descriptions of these movies are of course highly simplistic; there's so much more to say about them. His movies are generally infused with a great deal of wit and existentialism. There's many more I'd recommend, but some of the ones listed above would be a good start.
I'd also recommend
The Front, a rare film in which Allen acts, but neither directs nor writes.