I had heard for years about the films of Robert Altman, and recently absolutely enjoyed the funny, mysterious A Prairie Home Companion. The behind-the-scenes feature showed a director who was in charge of his actors, but not a dictator. He once said in an interview, "I want my actors to surprise me."
Here's a sampling (unlinked) of his work. Coincidentally, I'll be receiving M*A*S*H in the mail soon.
A Prairie Home Companion (2006)
Gosford Park (2001)
Kansas City (1996)
Vincent & Theo (1990)
Come Back to the Five and Dime, Jimmy Dean, Jimmy Dean (1982)
"Bonanza" (1960-61, 8 episodes)
"Maverick (1960, 1 episode)
"Alfred Hitchcock Presents" (1958, 2 episodes)