Agree with the Gulbenkian. It's a jewel box of a museum, much like the Frick in New York or Borghese Villa in Rome. The Asian ceramic collection and Turkish rugs are exquisite.
The Coach museum is OK if you have to pick another museum.
Not a museum though, but I also enjoyed the Oceanario (the aquarium),... the design and user experience was quite well done compared to other aquaria.