I think it depends on your level. At first, you could try watching movies with audio in the language you're learning and subtitles in your native language.
Then, watch them with both audio and subtitles in the language you're learning. And finally, watch movies without any subtitles, only the audio. You could also try watching movies you've already watched in your native language, but this time watch them in the language you're learning.
Learning languages with movies is really helpful, I've improved my English doing this. Hope it works for you too :).