I agree, watching films and TV shows might be a great way to improve the language. We have fun, enjoy ourselves and at the same time learn some language.
It is however important that when watching something we understand quite a lot. Otherwise it might be a bit frustrating and we will probably not learn a lot.
Recently I came across a great extension from Chrome that allows to undestand Netflix series better. We can easily read subtitles and their translation (depending what langauge we learn), slow video and audio, easily repeat sentences, and so on.
It is simply great tool. You can download from here Language Learning with Netflix.
It is also worth visiting the author's website where you can see a catalog of movies in a particular available depending on the region you watch Netflix from.