Movies employing music in a great way.

Yes indeed; Some great director/composer ones come to mind
- Hitchcock/Herrmann
- Spielberg/Williams
- Burton/Elfman
- Fellini/Rota
 

Films by Ken Russell.

Lots of great films/music bringing back lots of memories.  I can't believe no one has cited "2001: a Space Odyssey" by Stanley Kubrick.  Interestingly, Kubrick had commissioned two original music scores for the film, one by Alex North and another (additional music) by Frank Cordell.  Kubrick had used the classical works now associated with the film as "temp music," that is an existing works of music usually used during the editing phase of a movie to provide a sense of pace or mood to the editors.  Kubick reportedly liked the result with the temp music so much that he abandoned the original scores for the final cut.  North was not told of this and found out when he attended the film's premier screening!! The original score by North was released on CD by Varese Sarabande but I believe is only available on the used market.  Kubrick is well known for using classical music in his movies, notably "A Clockwork Orange."

Pulp Fiction
+1 for The Third Man

The movie Glory had spectacular music!  Very moving.