Technically this isn't a movie, but every year at Christmas time I watch WWE's Tribute To The Troops. I don't support the war in Iraq, or the politics behind it, but I respect the men and women who are over there doing their duty.
On a lighter note, I also watch Denis Leary's "Merry F**king Christmas" every year.
"Old Saint Nick's got bourbon breath
It's so cold you can catch your death
A cop sold me some crystal meth
It's a Merry F**kin' Christmas"