--I forgot to mention (but so has everyone else) that Stanley Kubrick was famous for the music he chose for his films--at least, since 2001. It took me a long time to get Handel's Sarabande (the theme from Barry Lyndon) out of my head.

Terence Malick, who's made only three movies (haven't seen his latest, The Thin Red Line), also has memorable classically-composed music in his movies. Carl Orff's "Musica Poetica" in Badlands comes to mind.

doug