Any Bruce Lee movie obviously, he pioneered what's done today, and without all the special effects. When you realize the skill he had in coming millimeters from the people in the movie he was supposed to be fighting, and the amount of control he had over how realistic it looked, just incredible.
I never really liked any Jackie Chan movies for some reason.
But Crowching Tiger, Hidden Dragon was really good. Also I thought Hero was cool.
Other than Bruce Lee, I usually prefer an older UFC (Ultimate Fighting Championship) vid, the ones when Gracie was still competing, if I'm in the mood for some martial arts. Most Blockbusters carry a zillion of those UFC vids if you've never seen one, its really cool seeing so many different styles of training and different sized fighters going at it. Or maybe I'm just weird, but I used to train in a few different arts so I find that stuff really cool.