The cream: Annie Hall, Manhattan, Broadway Danny Rose, Radio Days, Crimes & Misdemeanors, Take the Money and Run, Zelig, Hannah and Her Sisters...
Also: Manhattan Murder Mystery, Bulletts Over Broadway, Stardust Memories, Bananas, Mighty Aphrodite, Shadows and Fog, Play It Again Sam (not director)...
Some prefer his 'earlier, funny' films (there's a distinct change of tone, and a move away from silliness, from Annie Hall and onward) and don't like serious Woody, but I think he's great doing both.