If short stories count, then All You Zombies, definitely. In the hands of a competent director it could make a fab little film.
The big problem with Glory Road as a movie is that the first half of the book (Oscar trying to get the Egg of the Phoenix) would make a rockin’ good movie. But it’s primarily just a fantasy movie/book. The second half of the book (“What happens to a man who gets all his wishes granted?”) would be a stunningly dull movie. It reads wonderfully. It would be like paint drying watching Oscar having hishttp://boards.straightdope.com/sdmb/showthread.php?t=546544 existential angst, especially following the action-packed intro.
And more importantly, Heinlein wrote the first half so he could do what he wanted in the second half. Losing the second half of the book would really (IMO) undermine the author’s intent. Why–it would be as idiotic as taking the “Respect volunteers in the military” message of Starship Troopers and making a movie saying “All soldiers are mindless fascists”.
PS–one thing you couldn’t do with Puppet Masters is the “Everyone’s nude” thing–the mood would be ruined and people would be giggling.
You could do it. It would just have to be cut down a bunch. Show Oscar getting totally bored, a montage of fights with Star, him growing more and more morose, talking about “What good is a retired hero?”, then just as you think the movie is going to have a downbeat ending of Oscar offing himself, the message arrives! Back on the Glory Road!
If we’re talking about great short stories - I’ve always loved The Long Watch. The ending always makes my scalp tingle and sometimes I get a little teary. I’m just not sure if there’s enough material to sustain a feature length film without adding too much excessive padding.
I think The Long Watch would make a great movie. In fact, I’d throw in elements of Space Cadet, although with the timing reversed, showing a young kid starting out in the Academy and working his way up to a position on the moon, then thwarting the attempted military coup. The first part doesn’t have to be pure Heinlein, but once we transition to the events in The Long Watch, it should be done as close to the short story as possible.
I also think that selected Future History short stories could be made as an HBO miniseries, with one story per episode, or even as an animated anime series.
I’m surprised there haven’t been more classic science fiction stories remade as Anime. It seems idea for representing the golden era of SF.
Another vote for Farnham’s Freehold and The Moon Is A Harsh Mistress. Hopefully on the moon base a random tabby in the background can be spotted 
Magic, Inc would also make a good film, I agree. I’m seeing a quirky black comedy with William H. Macy, Kevin Spacey, and Forest Whitaker in it, personally…
Great, great story. Had you heard about its use in the Israeli court-martial of Adam Keller? See the third paragraph from the end here: http://en.allexperts.com/e/a/ad/adam_keller_court_martial.htm
Definitely The Moon is a Harsh Mistress, but the adaptation would be tough to pull off.
Short stories? I want to see “We Also Walk Dogs” and “Gentlemen, Be Seated” done either as episodes of a scifi series or standalones. There’s another short story - I can’t remember the title - of a little girl lost on the Moon, and they find her by playing different notes across the surface of the Moon so she can pinpoint by which note they play.
I especially like Heinlein’s short stories where the conflict is solved with analytical thinking and solid science.
Searchlight.
Heinlein wrote it to fit into a space on an advertisement in a magazine. That’s a short story. I’m afraid that if they did it, it would end up being padded to Hell and all over.
Rod Serling probably could have pulled it off as a half hour episode of the original Twilight Zone, but I’m not sure anyone today could or would do it justice.