When it comes to Scorsese, he should have won Best Director at the Oscars for Taxi Driver, Raging Bull, Goodfellas (though Dances with Wolves has an equal claim, to my mind), and Hugo. I actually think The Departed, which he did win for, is one of his least interesting films, despite some first-rate acting from the likes of Leonardo DiCaprio.
As for The Age of Innocence, I saw it during the original run, and expected it to be more of an Oscar contender (though I didn't expect it to beat Schindler's List, which really did deserve the big prize that year).