I already have a nice collection, but if I were starting my collection tomorrow the first 5 I would get are.
1) Lord of the Rings(Extended Edition) Trilogy
2) Braveheart
3) Gladiator
4) Matrix 1(and only Matrix 1)
5) Scarface Collectors Edition

My favorite movies in order are.
1 Shawshank Redemption
2 LOTR RoTK
3 Godfather 1
4 Godfather 2
5 Casablanca
6 LOTR TT
7 LOTR FoTR
8 Braveheart
9 Gladiator
10 The Usual Suspects
The reason my favorite movies list varies from what I would consider amust have on DVD is that DVD players are all about the shock and awe of a wonderful home theatre system, which is less vital to enjoying something like Casablanca then to Matrix. I also had most movies on VHS before DVD came around.