I've always enjoy Stardust Memories too about a director that wants to shift the tone and style of his films and make something more series in nature, and the quandary that goes thru his mind thinking about that. If fantasy is more your bag (sans unicorns, hobbits, and elves), Purple Rose of Cairo is a nice celebration of the cinema and the escapism it provides to us the audience. If Sci-Fi is your thing, check out Sleeper.
His earlier films are a little more slapstick and vaudevillian, and his later films more mature and subtle though many still contain comedic elements. So it's just a matter of what you might be in the mood for. One they don't list because he didn't write or direct it, although Allen is one of the main stars in it, is The Front. It's an excellent film about the blacklisting (Communist witch hunts) of the writers in Hollywood. They also don't mention, Play It Again, Sam, which I've always liked a lot as well. Allen did write it, and starred in it, but it was directed by Herbert Ross. Here's the list if you want to see how they ranked them.