Lost in Translation is my favorite film of all time. As far as lost gems. I think Quick Change is a very underrated film of his.
I watch Scrooged every year around this time. I love that movie so much. It's either that or Aquatic Life. He was so damn awesome in that movie.
Caddyshack... although Murray's role is surprisingly small in the movie considering how many notable scenes he has in it It's in the hole!!!!!
Doesn't count as a Bill Murray movie, but his cameo in Coffee and Cigarettes is my favorite Bill Murray scene. "It's Bill Murray. Bill Murray....Bill MotherF1cking Murray."
Groundhog Day, Ghostbusters, Stripes, What About Bob? and The Man Who Knew Too Little are all excellent choices (with Caddyshack also excellent because it's Caddyshack). Bill Motherf***ing Murray!
Too many good ones to choose just one, but I'd have to say Followed by Rushmore, Ghostbusters, Groundhog Day and What about Bob.
I know he wasn't the main character, but I found his short part in the movie zombieland was quite funny. http://www.youtube.com/watch?v=qH3QktkuVg8&feature=youtube_gdata_player http://www.youtube.com/watch?v=1yeUswA8xPY&feature=youtube_gdata_player