I really love MY DEMON LOVER by David Newman. And, although not a film score (but it sure sounds like one), you can't beat Michael Kamen's SAXOPHONE CONCERTO.
Even as someone who vehemently dislikes the sax, I simply cannot resist its smooth, melancholy sound in John Scott's RUBY - Especially that wonderfully sweet and affecting end title.
While it's not easy on the ears, the virtuoso writing/playing of the instrument in Bill Conti's GLORIA is highly admirable for its sheer dexterity. Sounds like it really put the musician through his/her paces!
I'm a big fan of the saxophone segments in Who Framed Roger Rabbit? and The Russia House. Silvestri and Goldsmith had career highlights featuring sax in both those scores.