Looks like Neil pretty much coverd it 

 And I agree with Neil, "Bring Me The Head Of Alfredo Garcia" should be at the top of your list. That's the one movie where he got the chanse to really make the movie he wanted to make. He and the crew basicly emerged on a whiskey soaked road trip into Mexico to shoot this bloody, little masterpiece. And when it got released people where in an outrage. I mean you can't make a movie called "Bring Me The Head Of Alfredo Garcia" and get away with it. Warren Oates is brilliant in it! What he did in "Alfredo Garcia" is up there with De Niro's work in "Raging Bull" and "Taxi Driver", and I'm not fucking around here. But you just have to see it for yourself, I can't describe it. 
People call it a demented and nihilistic movie, and I'm not ganna argue with the fact that this movie is really,really fucked up. But I think it's a existential film, it about a guy who no longer has anything to lose, and that becomes his downfall. 
"Bring Me The Head Of Alfredo Garcia" is without a doubt in my top 5. 
"Cross Of Iron".....
Again, Neil pointed out that this could be the best WW2 movie ever made, and I agree. I don't own it myself, I've only seen it on tv a few times, and I'm kicking myself for not owning it on DVD 
 
If you can find a copy of "Pat Garret & Billy The Kid" get that one after "Alfredo". It's among the best films Peckinpah made. Great acting by James Coburn and  Kris Kristofferson in that one. Cool to see Dylan there as well. The soundtrack is brilliant too....and I'm not talking about "Knocking On Heavens Door" here, but those great little ballads about "Billy". 
"Billy, they don't want you to be so free" 
Powerfull film! 
Another Peckinpah gem you should check out is "The Ballad Of Cable Houge".....it's a little hard to find, but it's being released again in January on DVD, along with a bunch of other Peckinpah movies. I havn't seen "Ballad" since I was 15...but if I remember right it's really good! 
You've seen "The Wild Bunch" and "Straw Dogs", so you're home free on those 
 
 
I'll write more tomorrow, we have to talk about "Straw Dogs".....