All Quiet on the Western Front (1930's version)(WWI from the perspective of low ranking German soldiers)
Bridge Over the River Kwai (WWII film, starring Alec Guinness. Based on a book by the same man who wrote The Planet of the Apes)
Tora! Tora! Tora! (well known film about Pearl Harbor)
Midway (WWII, battle of Midway, film stars Charlton Heston)
Dr. Strangelove, or: How I Learned to Stop Worrying and Love the Bomb (Cold war, anti-war comedy by Stanley Kubrick)
Full Metal Jacket (Vietnam, another anti-war film by Stanley Kubrick)
I like all these films to some degree or another, but the first two on the list are the ones I recommend the highest. If you and your buddies don't mind old black and white films, All Quiet on the Western is HIGHLY recommended.
EDIT: FF posted while I was typing this, I must agree with him, Black Adder Goes Forth (fourth season of British TV series Black Adder starring Rowan Atkinson), is quite good. My favorite season of the series in fact.