Four Rooms is devastatingly underrated... imo, of course.
Spirits of the Dead is a terrific anthology with three segments directed by Roger Vadim, Louis Malle and Fellini. Fellini,s segment, Toby Dammit, was restored a few years ago and released as a stand alone feature and I believe the best of the three installments.
the recent Visitors by Kawase/Diaz/Hong,Tickets by Kiarostami/Olmi/Loach.
O. Henry's Full House is an example too by Koster/Hathaway/Negulesco/Hawks/King
Le Bambole too by Bolognini,Comencini,Rossi and Risi