What is beneficial is watching movies with subtitles in the original language of the movie. So if you're, let's say American, you will watch a French movie with the French subtitles, that is to say in your L2. Technology allows us to access DVDs with optional subtitles, including in the language of the movie. You can improve not only your listening skills but grammar and vocabulary as well. You need to watch the movie several times to get full benefit.
To get the full flavour of the movie first time you watch can be without subtitles. You might find you understand some of it because the pictures on the screen help you understand the spoken words. And the more you use this method the more you'll understand first time.
Second viewing activate the subtitles, obviously your eye will be drawn to the subtitles at least as much as to the picture, but don't forget, you've watched it once already. Reading helps you understand better what you hear, you can press the pause button if necessary, and even take notes if you are very keen. A good exercise is to spot the discrepancies between the spoken word and the subtitles.
Third time you watch again without subtitles and you'll be amazed at how much you understand then.
This is an excellent method for anyone studying on their own, outside any academic environment, but it can be done as a complement to any course. I've experienced myself with foreign languages in which I'm not fluent and on the professional side I've noticed students improving tremendously (listening skills, speaking skills and vocabulary) by watching movies in their spare time.
Lots of studies have highlighted the beneficial impact of watching movies in the L2. Those studies usually compare two groups of students: a group who have watched the movie in the L2 without subtitles, a second group who have watched the movie in the L2 with subtitles. First ones I've hit upon through google (lots more to be found):
Insight into Learners’ Perspectives on Watching Movies with L1 vs. L2
This study suggests that learners may improve their
spelling, word recognition ability, pronunciation of new words and words they
have already acquired, their understanding of spoken language, and intonation
when they watch movies with the L2 subtitles.
Movies in EFL classrooms: with or without subtitles:
The results showed that the English subtitle group performed better than the no subtitle group on the listening test.
I would like to add that I have found that, although not detrimental, watching foreign movies with subtitles in the L1 is not as effective as far as improving in the L2 is concerned.