Someone upthread suggested "Alive", possibly as a joke - but it's one of my favourite films (the book is much better, though) and ever since I saw it I've wanted to go to Uruguay and to the Andes mountains.
Also, Berlin is my current obsession, so I've watched "Run Lola Run" about 1500 times in the past few months.
Other films that make me want to travel:
Before Sunrise/Sunset
The Beach, of course.
La Vie en Rose
The Talented Mr. Ripley
The Spanish Apartment
The Quiet American
Lost in Translation
Cabaret
Before I moved to the UK I'd watch any film I could find filmed here:
Match Point
Trainspotting
Closer
Notting Hill
About a Boy
Hm, I think I'll probably have to add to this list...