There are so many after readings others replies I feel like adding more to my list.
He’s barely even in that.
Scrooged and Grondhog Day
definitely Groundhog Day 
Stripes for sure!
Space Jam is an awesome movie!
Yeah Mine too ( Groundhog Day for sure )
No love for Quick Change on this thread? His directorial debut and a fine funny film. He’s one of those hilarious comedians who hasn’t really done that many good films. Scrooged and Groundhog Day are classics but all others to me are lite versions of his better works.
I love Quick Change, it is a really underrated comedy and I though that Bill Murray did a great job co-directing it with Howard Franklin after original director Ron Howard passed on it. Defiantly want to add it to my collection in the near future.
Caddyshack
Stripes
Scrooged
What About Bob?
Groundhog Day
I list Scrooged and Groundhog Day, even though Murray is so good at playing a jerk that it’s hard for me to forgive him by the end, haha. I never fully got into his films beyond that point. But I could probably say that with most of the GB cast. Their run from the mid-70s to the mid-90s was a special time for me.
What About Bob is easily my favorite non Ghostbusters Bill Murray movie. I must have watched that movie 100 times when I was a kid.
Scrooged and anything Wes Anderson.
Every Wes Anderson film especially Fantastic Mr. Fox.
Groundhog Day
About time someone’s mentioned Wes’ films. I think Rushmore is one of Bill’s best. A fine performance for the Murricane.
Broken Flowers - Murray at his understated best, the king of subtlety, so many quiet Bill moments.
Scrooged - this movie is just as quotable and funny as the two Ghostbusters movies. I watch it a couple times during the season, it never gets old.
Saint Vincent is pretty underrated even if its a bit of a Gran torino knock off. Its nice to see Bill play a gold hearted jerk again.
Quick change is pretty overlooked too. Him and gena davis made a good team.
Everything else is the usual classics Stripes..etc.
What about a Worst list?
Who remembers Larger than Life and Man who Knew Too Little?
Lost in Translation. Not just a great Bill Murray movie. It’s one of the best movies l’ve ever seen.