Lord of the Rings- I love Tolkien's work dearly, and I do believe the movie is, with some small reservations, as good as adaptation as possible. It looks and feels pretty much exactly as I always imagined it should, and the cast is absolutely perfect (maybe except Denethor).
Watchmen- again, as faithful to the original work as possible. Not perfect, but very, very good. On of my favourite superhero movies ever. Also, 300 and Sin City make the list as pretty much perfect 1:1 adaptations in the same vein.
Adventures of Sherlock Holmes with Jeremy Brett. The most perfect, unrivaled version of Holmes. The tv series is as faithful to the original as possible, pretty much the textbook perfect adaptation, and Brett is simply superb.
Chronicles of Narnia- the BBC tc series (all four of them). Yes, it's made on a TV budget in the 80s, but I think it still looks pretty damn good, and what's farm ore important it captures the feeling and the mood of the books perfectly. For a kid, I can hardly think of a more magical thing to watch. The music is fantastic, the cast is great and it does the books justice in every respect. Far, far superior to the rather dreadful big-budget effort from Disney some years ago.
There's more of course, if others don't mention them, I might later.