It comes from a Fincher interview in Empire first posted by Fincher Fanatic in 2008. Slashfilm helpfully added a text list of the films (below). The list pops up now and again--especially now that the guy might win an Oscar for The Social Network.
Butch Cassidy and the Sundance Kid
All The Jazz
Lawrence of Arabia
All the Presidents Men
Days of Heaven
Year of Living Dangerously
Monty Python and the Holy Grail