THE LADY VANISHES (1938) - It's a close call between this and THE 39 STEPS, but I consider this Hitchcock's first masterpiece. Dame May Whitty is wonderful as the little old lady who is more than she seems and I love the two English twits whose lives and conversations center around cricket (something about cricket that makes an obsesion about it more funny than if it was soccer or baseball, maybe it's words like "googly" and "mullygrubber".)
The 2005 Jodie Foster film FLIGHTPLAN stold quite brazenly for this film, but it was vastly inferior, even with the introduction of CGI and the switch from a train to a plane.
JAMAICA INN (1939) - A rather silly gothic melodrama set in an English seaside town. Based on a Daphne Du Maurier novel (as were two other Hitchcock films), this film does profit from the presense of the always entertaining Charles Laughton and an early performance by the beautiful Maureen O'Hara.
REBECCA (1940) - a far superior adaptation of a Daphne Du Maurier novel, this was the only Hitch picture to win Best Picture Oscar (it also won for best cinematography). It did not win the Best Director Oscar, Hitchcock never won an Oscar for director and had to settle for one of those "Sorry, We've Screwed Up for Decades" Oscars.
Laurence Olivier and Joan Fotaine are very good, but Judith Anderson steals the show as the dictorial housekeeper.
FOREIGN CORRESPONDENT (1940) - This is a film that had special effects that were considered spectacular at the time that have not aged well. Still, there are some great set pieces, such as the windmill scene and the umbrella scene where in you can play the game "one of these things is not like the others."
And Edmund Gwenn is great in the film, with a performance that is a stark contrast to his Santa Claus in "Miracle on 34th Street".
MR. & MRS. SMITH (1941) - A real departure for Hitchcock, a screwball comedy. I hear the reason that took the film was to work with Carole Lombard, a very reasonable basis for choosing a film. It's okay, but many of Hitch's suspense films have bigger laugh out loud moments (such as Cary Grant at the auction in NORTH BY NORTHWEST.)
The censors irratiated Hitch by censoring toilets in a scene, so he got his revenge with PYSCHO which featured a toilet bowl close-up.