I feel like everything I'll end up recommending is so ubiquitous that you may have already seen it, but - If you haven't seen Band of Brothers, immediately get thee to Band of Brothers. ASAP. The Pianist. Fury, whenever it comes out on DVD, if you want to feel really awful about the absolute horror of what Bucky probably saw in the war, and, you know, life in general. Saving Private Ryan, which is fairly bombastic, in true Spielberg style, but certainly worth seeing if you haven't already.

I feel like if you're looking for the horrors of war, it's also worth mentioning Atonement, which is set during WWI but it will give you an idea of the shit that the world was just fresh out of during the period Steve and Bucky would have been growing up in. (Disclaimer: The Horrors of War could be described as a favored genre of mine.)

Sorry if you've already seen these! I am sure that some folks who are far better scholars of WWII could probably make better recommendations.