I’ll put in another vote for The Tempest, which grows in complexity every time I read or see it, but stays mysterious all the same. As a bonus, my girlfriend played Ariel in a production last week and was just amazing.
Macbeth comes in second. I love that it’s almost a noir story, and I like its brevity and directness, although that probably comes from later editors and not Shakespeare. Ian McKellen’s Richard III is as good as Sampiro and others say it is, but I have to put in a vote for the 1976 Macbeth that stars McKellen and Judi Dench. It’s a filmed version of a bare-stage production, not a movie adaptation, but it’s an outstanding one. McKellen’s Macbeth is a conflicted man who chooses to do wrong, not a decent man who is whipped into it by his wife, and Dench found a few great moments that make Lady Macbeth’s descent into madness much more believable.