Some directors are best suited to a specific type of movie and often stick with it. Alfred Hitchcock, for instance, established himself as the master of suspense creating movies in the thriller and horror genres (although he did cover different types of thrillers: psychological, mistaken identity, criminal investigation). There are many, however, who have demonstrated the ability to work with several genres.
Below are ten directors that I've seen at least four films from, and who have demonstrated that ability. Spielberg, Reiner, Kubrick, Tarantino, and Scott are obvious examples, but I should also note Tim Burton, who has demonstrated an incredible ability to blend genres (the comedy-horror Bettlejuice, the gothic fantasy-romance Edward Scissorhands, and the musical-slasher Sweeney Todd, to name a few. He also conceived/produced a movie that manages to be both a Halloween movie and a Christmas movie.)
Enjoy!