I haven't seen many films I also read the book they are based on, so my list is short:
The Last Unicorn: I'm undecided if I like the movie as much as the book or even more, but one way or the other it's an excellent book adaptation (probably only small wonder, given that Peter S. beagle himself wrote the screenplay). Extra bonus for me: Christopher Lee voiced King Haggard in the German dub too, which was quite a treat.
Game of Thrones: Not strictly a movie, but I prefer the TV series to the books. Martin killed the books for me with "minor character overload" at some point. At least with the TV show I get who the important characters are instead of waiting a few hundred pages, wondering if suchandsuch will ever appear again and if I should have committed his name to memory or not.