At The Drive-In have quite a few quality EPs. I was listening to El Gran Orgo earlier... it's another great one. Same goes for Stereolab. Also, there were more than a few kick ass no wave EPs, Mars, DNA, Swans, and Teenage Jesus & The Jerks (who only ever released EPs).
And of course:
Really surprised no one mentioned that one yet. I'm sure that's got to be one of the best EPs ever.