Rififi and Topkapi for classics. Both from the same director. The former has a Criterion Blu-ray. The latter will be out in October. The Italian Job is halfway decent as well, both the original and remake. Same goes for both versions of The Thomas Crown Affair, although in that case the remake is better.
Die Hard and Die Hard with a Vengeance are terrific if you want more action-oriented takes on the heist film. Michael Mann's done a couple of terrific ones, Thief and Heat. If you're into spy movies, then obviously Goldfinger is one of the greats. I've got all four Ocean's Eleven movies on DVD but haven't watched them yet. They're supposed to be pretty good.
Honestly, my favorite heist stuff is on TV. I became obsessed with Mission: Impossible the moment I saw it and soon found myself spending $150 on a complete series DVD set and watching every episode. I was also pleased to discover Leverage, which does a much better job of capturing the essence of the old Mission: Impossible than the Tom Cruise films.