From my understanding, he didn't direct it or anything like that, it was just "sold" as a Tim Burton film. So if were including it, I'm a sucker for Nightmare Before Christmas. I always have been
Ed Wood (1994) is my favorite, and it's probably his most slept-on Depp collaboration. It's a brilliant film about a terrible filmmaker. Depp and the rest of the cast are excellent but I think Martin Landau's performance as Bela Lugosi stands out. He does a remarkable job of playing a (past his prime) icon of the golden age of monster movies.
Beyond that, in no particular order, I'm a big fan of: Big Fish, Edward Scissorhands, Mars Attacks!, Beetlejuice, and of course, Batman + Returns.
Big Fish was one of the first movies I watched when I started really paying attention to what I was watching. And to this day it remains one of my favourites. Sleepy Hollow doesn't get enough love either. Stellar cast.