The Royal Tenenbaums is my favorite. I've always appreciated how Richie says, "I'm going to kill myself tomorrow," but thirty seconds of an Elliott Smith track makes him move up the schedule.
I don't know that there's a single musical misstep in anything from Wes Anderson, Quentin Tarantino, Edgar Wright, PT Anderson, or the Coens, but that's basically the short list of my favorite filmmakers so maybe I'm biased. I have to dock Scorsese for using Gimme Shelter three times, otherwise he'd be there too.
Guy Ritchie and Danny Boyle always have banger soundtracks too.