That depends on the style of learning you are accustomed to, and whether or not your English proficiency is high enough to comprehend the dialogue. I do it quite often in my L2 practices, but only on videos that are equivalent to my L2 knowledge.
(children's shows vs cartoons vs heavy dialogue movies vs philosophical and political 'high proficiency' videos. (Also cultural knowledge will be tested in these films as well, so try not to watch films that rely on or heavily reference specific English speaking cultures because the meaning might be lost on on a L2 learner.)
This submersion approach is, in my opinion, the most authentic, but you really have to be ready to work your mind - mental exhaustion can come quickly in this situation.