Hannah and Her Sisters is one of Woody Allen's best. If you are interested in some recent Woody Allen then I recommend his latest, "Midnight in Paris", with Owen Wilson playing the Woody Allen character. It's a gem of a film, reminiscent of the Purple Rose of Cairo and a real return to form.
If you like Coen Brothers, on the other hand, may I suggest "A Serious Man". Just as they did their take on Odyssey with Oh Brother Where Art Thou, this film is sort of their take on the Book of Job. Dark, funny, clever, classic Coen Brothers.
One more suggestion: I Love You Phillip Morris. Jim Carrey at his best. While it is an over the top comedy, it is more of a thinking man's film than Ace Ventura, and perhaps more in the line of Eternal Sunshine of the Spotless Mind, with a deeper almost philosophical message.