Couple of Aussie classics, seing as how you guys have allready mentioned most of my favourites.
Breaker Morant. True story set in the Boer War.
ANZACs. Actually a TV mini-series, but well worth a mention anyway.
The Odd Angry Shot. Classic Aussie Vietnam war movie.
The Light Horsemen. Story of the men and horses involved in the last great cavalry charge in history, the charge at Bersheeba, Palestine(actually mounted infantry, not cavalry, they didnt carry sabres or lances, but were equipped with SMLEs and bayonets)
Edit> Just noticed Widewing mentioned the Light Horse allready, good to see that people from other countries have seen it and know the story, fantastic to see it mentioned by a non-Aussie as a favourite.
Widewing, they were remarkable men, and magnificant beasts, the telling of their story could be nothing but an inspiring movie.