Not seeing much Martin Scorsese, though music's usually a pretty important element in his films, like Mean Streets.
The following are things I actually listen to rather than remember:
Parade - The music to Prince's second film (Under the Cherry Moon) didn't become as iconic as Purple Rain, but it's certainly as good—might even be a better record. (The movie was better, too.)
The Hot Spot - Dennis Hopper-vehicle from 1990: Composed by Jack Nitzsche, but Miles Davis, John Lee Hooker and Taj Mahal play on it, sometimes together.
Ghost World - somebody's awesome vintage record collection
Naked Lunch - Howard Shore and Ornette Coleman
Buena Vista Social Club - self-explanatory
Black Cat, White Cat - Gypsy rock from the director (Emir Kusturica) himself
Nashville - also self-explanatory
The Silences of the Palace - Gorgeous North African/Arabic music put together by Anouar Brahem