The problem is that very few Russian films are available with good quality subtitles.
I think in general, a lot of the Soviet-era movies that are regarded as "classics" are more likely to be available on DVD with Russian subtitles. (My DVD of Ирония Судьбы also has good subtitles in both English and Russian.)

But more recent movies may lack Russian subtitles, at least on the versions that are made for the export market -- even though some of these feature subtitling in multiple foreign languages. (Although from checking out websites for deaf Russians, I gather that even "domestic market" DVDs often lack Russian subtitling!)

For example, I enjoyed "Night Watch" and its sequel "Day Watch," but both of these had subtitles only in English, so from a language-learning perspective they're not as useful (sometimes the characters talk so fast or indistinctly that I can't clearly make out all the Russian words, or I understand a word but it's not totally clear to me what case a noun is used in, etc.)