Jodie Foster in Bugsy Malone is pretty amazing, she just IS an adult, the rest of them look like kids playing adults, but she just seems to BE an adult.
I saw an interview with chachi/bugsy and he said about her 'she acts me off of the screen'.

Amazed that no-one has mentioned the girl who plays Eli in Let the right one in yet. An amazingly mature performance from an 11-year-old - you get the feeling that she's been alive hundreds of years, and seen so much. Whoever gets the part in the remake will not get close to her.
abigail breslin in little miss sunshine and anything else she's been in
Oh, and Tatum O'Neal in Paper Moon,
though her voice was dubbed by another actor - sterling performance all the same