I never use to be that into them but I rewatched Full Metal Jacket and now I've gained a bit of an appetite for w/e reason. My favorite is a toss between Apocalypse Now and The Thin Red Line, maybe Full Metal depending on the day. I know a lot of people will say Saving Private Ryan but besides the D-Day invasion and the Vin Diesel sniper scene, I can't remember most of it. I'll probably go rewatch that. Oh, and I also really like The Letters of Iwo Jima.
Another Kubrick film Path of Glory is quite good as well.
On a side note, I'm watching Band of Brothers for the first time and liking it.