There's no favorite, but I want to mention Saving Private Ryan for the following reason.
That movie was a revolution.
Never before did a movie portray infantry combat in such a realistic and gritty way, without being unbelievable/over the top or flat out corny.
While many of the infantry tactics in the movie on the German side are flat out ridiculous to non-existent, this movie still works and I will never forget the scene during the landing when the first landing craft's hatch came down and a single MG42 just wiped out half the men inside. My jaw dropped and I felt that this is probably the most authentic depiction of warfare ever to be put on film. Compare this with the laughable shooting paratroopers of The Longest Day in the St. Mere-Eglise scene for example, it's almost a parody.
The old movies do not really work for me regarding combat. It all looks fake as hell, they used to die in a overly dramatic fashion (you know, the "I-hold-my-chest-and-sink-to-my-knees-dying-101") and also the costumes and gear used were, mostly, laughable - for very understandable reasons, but that won't help the final product.
SPR changed it all.
It put you right there like nothing else before and nothing else since then, except of course Band of Brothers and later The Pacific, which had more or less the same guys behind them, so that's why.
I guess if I would have to pick, SPR would be it indeed, at least for infantry combat stuff. Naval would be Das Boot followed by Tora! Tora! Tora!, which is so incredible on so many levels.
Heck, they even build a Nagato battleship prop!
Honorable mention goes to Stalingrad (1993).