The Thin Red Line is one of my personal favourite war/religious movies. It's a poignant blend of philosophy and man's fight for integrity during a time of chaos and being confronted with one's own mortality. The music, dialogue, and acting really bring you to the centre of the struggles of war and the power of grace.
“Why should I be afraid to die? I belong to you. If I go first, I'll wait for you there, on the other side of the dark waters. Be with me now.”
I'd also recommend the tree of life, another Terrance Malick movie, which is focussed on faith within a Texan household (partly autobiographical, I believe) but the story is less engaging and more abstract.
“The nuns taught us there are two ways through life, the way of Nature and the way of Grace. You have to choose which one you'll follow."