"The Wind and the Lion" (yeah, its set in 1902, but some cool action scenes - hey, it's John Mileus)
"Glory"
"Gods and Generals" if only for the battle scenes - the assault on Marye's Heights and the overrunning of the Yankee camp are great.
"Breaker Morant" (1899-1901 Boer War)
"Gunga Din"
All the previous posts used up all my other suggestions.
There was another, which I cannot remember the title, of the first Black cadet at West Point - any reminders?
I think it was set in the 1880's or 1890's
For comic relief - "Texas Across the River" ("To the roor, haar!")
A fun thing to do is to watch "Gunga Din", then watch "Sergeants Three" - same story, one set in India, one in Old West. "Sergeants Three" (a Brat Pack movie, with Frank, Dino, Sammy, Joey, et al) is no more historically accurate (troopers armed w/ Winchesters) than "Santa Fe Trail" but its a hoot.