Well, one that comes to mind is Rob Zombie. I don't particularly care for Mr. Zombie's films nor his music but his films are a reflection of his antisocial rage-filled music. Come to think of it his films and music are a reflection of his name too. The S.O.B. completely defiled and insulted Carpenter's Halloween by making The Shape (Michael Myers) human. How stupid could he be? Part of what made Halloween so good was the mystery and mysticism behind the inhuman shape. Leave it to a guy named Zombie to take a gem and turn into a turd.
Vivian Kubrick, Stanley Kubrick's daughter is a composer/filmmaker but aside from the documentary she made for the making of The Shinning and an unreleased documentary for the making of Full Metal Jacket she really doesn't have much of a filmography to speak of. She composed the score for Full Metal Jacket but under a psuedonym.
Then there's Jim Morrison of The Doors. He started as a film student before becomming a rock star. But his bizarre visions were too much even for counter cultured 1960's Los Angeles so he quit.
I'm really struggling to find better examples here....
How about filmakers from a musical family. One that comes to mind is Francis Coppola. His father Carmine did the score for The Godfather saga which, like the score, had strong operatic qualities and motiffs. Those were really good scores too by the way. That lone trumpet is so iconic of the series and even the other minor keyed string theme is unforgetable. Actually, even Francis dabbled in film scoring with his father's assistance. Francis Coppola composed the cold and moody synth score for Apocalypse Now. I'm not sure if he did any scoring after that. Francis' daughter has worked both in film and music but I don't think she's combined the two in any artistic sense.