Depends upon what I'm in need of feeling good about.
If I've simply had a bad day at work or something, something that will completely take my mind off of things works best - something that bears no resemblance to my actual life.
In truth, one of my favorite films under this circumstance is
The Hunt for Red October. I love this movie, and it is so far removed from my actual life experience that it takes my mind off of things.
If I am in one of those moods where I think that life just sucks in a million different ways, then
Doctor Zhivago is the film for me. It's not at all a 'feel good' movie, but it does leave you with the feeling that no matter how bad things suck, it could definitely be worse...as this movie clearly demonstrates.
(just as an aside, I think my Russian heritage is showing.

)
By the way,
The English Patient works for me in the same way. Just about every main character in this film dies an incredibly tragic death. The moral of the story: things could be worse.
Lastly, if I am depressed over men/bad luck in love or whatever, there is nothing like one of those Hugh Grant romantic comedies. The best for this purpose is
Notting Hill. But there are a few others that will do just as well.
Several Gary Cooper films work the same way for me under this circumstance - particularly
Ball of Fire,
Meet John Doe, and
Mr Deeds Goes to Town. Gary Cooper is my favorite actor of all time...and these movies are really great.
Lastly, if I just want to laugh - I mean REALLY laugh until I practically cry, there is only one film to watch. It's short - less than an hour. But it is by far one of the funniest movies I've ever seen period...and definitely the one that gives you the most bang for the buck, laugh-per-minute-wise. This movie is Charlie Chaplin's silent film called
1 AM. There is only 1 other actor in the entire film besides Chaplin, and that actor is gone about 2 minutes into the film. After that it is 100% Chaplin at his absolute finest.
In fact, Chaplin films are really great in general for when you feel a bit beat down. The Tramp is the poster boy for the guy who continually gets beat down, but always gets up and keeps right on going.