I've actually never seen a Martin Scorsese movie either.
Start watching his films NOW!
You forgot Jackie Brown that is his other great film in my mind. Didn't like Kill Bill, still need to see IB and True Romance is only decent at best.
True Romance was horrible. I despise that movie!
As for my favorite directors, here is my list:
Martin Scorsese
Quentin Tarantino
Christopher Nolan
Darren Aronofsky
Kevin Smith
I think Danny Boyle and David Fincher are great directors. In regards to Boyle, Trainspotting and Slumdog Millionaire were great films but I have not seen his other films yet. As for David Fincher, Fight Club and Se7en were great and although I was not that impressed with The Social Network, a lot of people do praise that film. I would like to watch more of his films though.
I would like to watch Alfred Hitchcock and David Lynch's films. They were mentioned quite a bit in this thread.
As for Stanley Kubrick, I've only seen The Shining. I would love to watch his other films as well.
Tim Burton is awful now. I thought his earlier films were pretty good but I definitely don't think he is that great.
OH and I completely forgot about Steven Spielberg. He is great!