The first that came to my mind was PT Anderson. 4 of his 5 current feature films are original screenplays (the exception being There Will Be Blood which is loosely based Oil by Upton Sinclair). It will be 5 out of 6 if you count his upcoming The Master.
I don't think Aronofsky quite fits the criteria. He wrote Pi (albeit not solely) and The Fountain. He is not credited as a writer on The Wrestler and Black Swan, and Requiem for a Dream is based off the novel of the same name. That gives him 2 out of his 5 features, and I think that will be 3 out of 6 once Noah comes out.
The Coens easily fit the criteria. No Country for Old Men, True Grit, and Intolerable cruelty are all based off of novels, and they have a couple of films where there a few more writers (not including Oh Brother Where Art Thou? which apparently is a modern adaptation of The Odyssey).
Thought I'd think of more, but I guess there have been a lot more adaptations than I thought.
Edit: Ok I thought of one more. Terrence Malick has written all his features except for The Thin Red Line which is based off of a James Jones novel. I think he probably wrote all of his upcoming films too.