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Probably Sex Lies & Videotape.
Although I like to champion many of his lesser-appreciated films: Kafka, King of the Hill, The Underneath (though he has kinda disowned it), Schizopolis, Full Frontal, Good German, Girlfriend Experience. I think that these are all interesting and experimental in their own way, and I prefer tham to his more commercial films, which are sharp and sophisticated entertainment, but also more rote.
I'll second the mentions of The Limey (fantastic neo-noir), The Informant (the funniest film that no one has seen), Solaris (bravely eschewing Tarkovsky for a wholly different and singular take). And while I've felt that his output has been relatively lacking over the past decade, The Knick stands as something close to a masterpiece.