I'll say Magnolia bcs everybody else is saying Boogie Nights. Both where great films imho. Also Punch Drunk Love is great and the only movie with Sandler in it that is worth watching mainly because it's not an adam sandlar movie.
I actually didn't find TWBB to be as good as these three.
I just recently marathon'd through all of them since I was curious to check out his work - hadn't seen any of them prior. They're all really rather fantastic, though I think Punch-Drunk Love might be my favourite. It gave me a new found appreciation for Adam Sandler (which I also recently saw him in Reign on Me) and makes it almost tragic that such talent for more dramatic roles is being wasted. I particularly love the soundtrack for that movie, too, and Emily Watson is one of my favourite actresses at that.
Boogie Nights will forever hold a special place for opening my eyes to the startling similarities of a young Mark Wahlberg and Patrick Klepek, though.