I don't really like many anthology films because they are uneven, but the best moments are often awesome.
Tokyo! directed by Michel Gondry, Leos Carax, and Bong Joon-ho
Eros directed by Steven Soderbergh, Wong Kar-wai, Michelangelo Antonioni
Four Rooms directed by Quentin Tarantino, Robert Rodriguez, Alison Anders, Alexandre Rockwell
Four Love Stories directed by Mikio Naruse, Kajiro Yamamoto, Kenta Yamazaki, Teinosuke Kinugasa, Shirô Toyoda
New York, I Love You directed by Jiang Wen, Shekhar Kapur, Brett Ratner, Fatih Akın, Randall Balsmeyer, Shunji Iwai, Mira Nair, Joshua Marston, Natalie Portman, Allen Hughes, and Yvan Attal
New York Stories directed by Martin Scorsese, Francis Ford Coppola, and Woody Allen
Love At Twenty directed by Francois Truffaut, Renzo Rossellini, Shintaro Ishihara, Marcel Ophuls, and Andrzej Wajda
I'd say that Woody Allen's Everything You Always Wanted to Know About Sex* (*But Were Afraid to Ask) could be considered to be a single director anthology film.
I guess this list is a good start, but there are many many anthology films out there. I honestly wouldn't consider anyone of them to be among the greatest films, but they offer some amazing short films or amazing moments. Some people like to skip the worse sections of the films, but I always watch from beginning to end even if its an anthology film.