Fight Club's definitely a valid choice - I believe Chuck Palahniuk himself said he thought it was better than the book. Personally I think they're about on a par, although the book's ending isn't quite as good, I don't think.
This is really lame, but the only one I can think of right now is Order of the Phoenix. Out of all the HP films, that was the only one that really did it for me as a film in its own right, rather than just a showreel for the books. But the book is definitely the worst in the series.
A lot of people would argue that American Psycho the film is better than the book, if only for tuning down the violence and the minutiae. I'd disagree, but I can see the argument.