I always enjoy the work of Johnny Depp. When he plays a character, I do not see Depp, I see the character.
In contrast, I cannot endure much of Nicholas Cage. When he plays a character, I always see Cage trying to portray someone else; the guy is a hack.
Also on my list would be Clint Eastwood, Matt Damon, Harrison Ford, Sean Connery, Andie Macdowell. Even Tim Curry.