Just off the top of my head, The Pianist is a semi-biographical account of WW2, and Das Boot is a fictionalized but realistic account of living in a steel tube. Tora! Tora! Tora! is a classic Pearl Harbor movie. Dr. Strangelove is an extreme absurdist satire of the Cold War but remains a relevant movie. For non-war themed movies, I enjoyed Everest: IMAX and The Summit, which are based on disasters that struck climbers on the Himalayan peaks. And if you just search documentaries, there's a large amount of good shows there.
The Civil War by Ken Burns is an excellent composition of period images and music, with some delightful speakers who really help to bring the era to life. That said, it also presents an extremely simplistic and, in places, inaccurate view of the war. I rewatch occasionally, but it's really a basic introduction. For more information, the next step has to be McPherson's Battle Cry of Freedom.
The Last Emperor is a great film to watch, it's about Puyi, the last emperor of he Qing dynasty and the social and political and social changes that created the fall of the monarchy and rise of communism. Really good movie, I'm not sure of it's available in all countries but watch it if you can!
Ken Burns also did the West which I think is phenomenal.
Downfall is a German movie about the last days in Hitler's bunker in Berlin. Auschwitz: Inside the Nazi State is good too. If you're on a computer you can sort everything by documentaries and then historical documentaries.
Love it or hate it, I thought the HBO/BBC collaboration of Rome was excellent. While there are some inaccuracies in terms of the documented history, I haven't seen a series so far that captures the social aspects of characters in such a distant historical setting in quite the same way. Also I think the best portrayal of Cleopatra of any TV or movie to date. (Again all personal opinion!)
Also plenty of coverage of military leaders and ordinary soldiers if you're looking for a balance. Particularly in the first season with Caesar and Mark Anthony.
Ünsere mütter, unsere vatter is a great mini-series about 5 german friends during WW2, can't really say is it historically accurate though since it's still drama series.
I've heard Band of Brothers is pretty great, but I'm not entirely certain on that one. I enjoyed it in general, but can't attest to its historical accuracy, though I've seen threads on it that haven't said it was inaccurate.
If you are into music history at all, do yourself a favor and watch the documentary 'Jazz' by Ken Burns. It mainly focuses on the early roots and jazz, along with it's rise to popularity. It does not give a whole lot of time to new age Jazz, but if you want some great perspective and stories on Swing music, and musicians such as Louis Armstrong, Duke Ellington, Chick Webb, and the like...it is certainly a must watch.
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The Rape of Europa - "documentary that chronicles 12 years of the Nazis' pillaging works of art throughout Europe and the international effort to locate, protect and return millions of valuable treasures."