Watching movies is one of the best ways to improve your Spanish, no matter what your level is. As a beginner, start with the subtitles in your own language. As your level of Spanish advances, try watching with the Spanish subtitles.
The following list contains some of my personal favorite movies. The criteria for these choices was sometimes aesthetic, sometimes related with the subject matter or because of the actors's performances. Check the list by film, filmmaker or by genre.