WarGames: http://en.wikipedia.org/wiki/WarGames - Matt's first real lead role. He really did an outstanding job in the film, and the story really gets you very hooked.
Ferris Bueller's Day Off: http://en.wikipedia.org/wiki/Ferris_Bueller%27s_Day_Off - Classic John Hughes teenage film. Really one of the best films of the Genre, usually listed as the best film from Matt, but I think it ranks behind a few of them. An amazing film, but not the best, and the not the best John Hughes film eigther, in my opinion (I'd say that's eigther Home Alone, or The Breakfast Club).
Biloxi Blues: http://en.wikipedia.org/wiki/Biloxi_Blues_(film) - Probably my favorite film from Matt, even better then his role in The Lion King. Matt, and all the other actors in the film really made this film amazing. Matt and Christopher Walken should of gotten Awards for their preformances at the end, a really really intense and amazing ending.
Glory: http://en.wikipedia.org/wiki/Glory_(1989_film) - Denzel Washington, Morgan Freeman (u mad, Moka?), and Matt = <3
The Cable Guy: http://en.wikipedia.org/wiki/The_Cable_Guy - An odd preformance, mainly due to Jim Carey. Surprisingly very sexual for it's rating. None the less, I enjoyed it quite a bit.
Election: http://en.wikipedia.org/wiki/Election_(1999_film) - Sounds good, and is usually listed on the top Matt lists I always see, so it must be good. I just recently bought it, so I'll have to give it a view. lol
You Can Count On Me: http://en.wikipedia.org/wiki/You_Can_Count_on_Me - Haven't seen, but sounds like a pretty good indie film.
The Music Man: http://en.wikipedia.org/wiki/The_Music_Man_(2003_film) - Haven't seen it, but it's a 3 hour musical with Matt in it. It must be amazing.
The Stepford Wives: http://en.wikipedia.org/wiki/The_Stepfo ... (2004_film) - Actually a pretty good remake, is it just me or did Matt really buff up for this movie? 0.0
The Producers: http://en.wikipedia.org/wiki/The_Producers_(2005_film) - Though I would also highly suggest the Zero Mostel/Gene Wilder version of the film as well

Wonderful World: http://en.wikipedia.org/wiki/Wonderful_World_(film) - more towards an indie film, but good none the less.
To be released:
Margaret: http://en.wikipedia.org/wiki/Margaret_(2011_film) - Though not realeased yet, I already think it sounds really good. I mean, 4 years of legal troubles over the director wanting his true vision with the film is really gonna be amazing. Plus look at that cast list, that's just a great ensemble.