As Loren said, it's quite difficult to learn English by movies. I tried to do like that and it's difficult because you constantly pay attantion on new words instead of just watching and enjoy the movie, especially if you like to watch it with captions. However it doesn't mean you can't try. It's always a good experience. And if you want to watch something, I advise you to choose some of your favorite movies, that won't irritate you and give you a lot of pleasure.
Another thing is a tv show or a serial. For example I've been watching "How I Met Your Mother" in English and I like it very much. There are usual situations which discribe a routine life, a relationship, a work and a friendship. I can say surely, that I've learnt a lot of new information from the first two or three seasons... and there are 9 of them.
I don't recommend learn English watching movies if you are not advanced.
If you are going to study the movie, writing the unknown words and sentences etc, I recommend to study watching tv shows.
It is short and you will not be tired.
Do you know www.ororo.tv? There are more than 1000tv shows and you can put subtitles.
What kind of movie or tv show do you like?
I recommend that maybe you start with watching the news (BBC News). The presenters speak very clearly and slowly so it is easy to follow. They also repeat the stories every few minutes in a slightly different way so this helps to reinforce learning.