There are a number of really great things about movies that make them particularly useful and fun to study. For one thing, you can experience an entire film in about two hours, beginning to end. In four hours, you can watch it twice. Because of this films are great for studying basic narrative structure, and offer valuable insights into how to create effective beginnings, middles and ends in any type of story.
Movies are by necessity based on action and dialogue. They present a story in scenes, and you get to know the characters through the things that they do and say. This is all great stuff to do in fiction. How many times have budding writers been told it is better to show than to tell? Understanding how film-makers do this can give you a new perspective, and help you understand how to do it in your own work.
Finally, with dvd commentaries by writers, directors and actors, there is a wealth of first hand story telling experience to draw on. When you find a great film with really good commentaries it’s like attending a fantastic lecture on the creative process. Writers talk about the evolution of various drafts. Directors talk about the difficulties they encountered, their understanding of the story, the pains and triumphs of editing, and so many other valuable things.