The Taking of Power by Louis XIV (1966): France
Ridicule (1996): France
Aristocrats (1999): England
Pride and Prejudice (1995): England
Beau Brummell: This Charming Man (2006): England*
Sense and Sensibility (2008): England
*at least the first 25 minutes or so
Middlemarch (1994): England
Wives and Daughters (1999): England
Great Expectations (2011): England
The Great Train Robbery (1979): England
The Europeans (1979): Northeastern U.S.
The Young Victoria (2009): England
Gone with the Wind (1939): Southeastern U.S.
The Way We Live Now (2001): England
Daniel Deronda (2002): England
The Happy Years (1950): Northeastern U.S.
Young Winston (1972): England
Sherlock Holmes (2009): England
The Late George Apley (1947): Northeastern U.S.
A Room with a View (1985): England and Italy
The Shooting Party (1985): England
Howards End (1992): England
Parade's End (2012): England
The Idle Class (1921): filmed in California, set in ?
The Freshman (1925): filmed in California, set in ?
So This is College (1929): filmed and set in California
The Great Gatsby (1974 & 2013): Northeastern U.S.
Brideshead Revisited (1981): England*
Chariots of Fire (1981): England
Jeeves & Wooster (1990-1993): England
*Set in the 1920s up into episode 8
Wedding Rehearsal (1932): England
It Happened One Night (1934): Northeastern U.S.
Top Hat (1935): An American in England
My Man Godfrey (1936): Northeastern U.S.
Pygmalion (1938): England
Edward & Mrs. Simpson (1978): England*
Gosford Park (2001): England
*for a variation on this theme, see The Woman He Loved (1988)
The Philadelphia Story (1940): Northeastern U.S.
Rebecca (1940): England
The Palm Beach Story (1942): Northeastern U.S. and Florida
Casablanca (1942): Americans and Europeans in North Africa
Notorious (1946): Americans in Florida and Brazil
Rope (1948): Northeastern U.S.
The Imitation Game (2014): England
Roman Holiday (1953): An American in Italy
Sabrina (1954): Northeastern U.S.
To Catch a Thief (1955): An American on the Riviera
North by Northwest (1959): Northeastern and Midwestern U.S.
The Young Philadelphians (1959): Northeastern U.S.
School Ties (1992): Northeastern U.S.
Talented Mr. Ripley (1999): Americans in Italy
La Dolce Vita (1960): Italy
Breakfast at Tiffany's (1961): Northeastern U.S.
Dr. No (1962): An Englishman in the Caribbean*
The Graduate (1967): California
Bullitt (1968): California
Thomas Crown Affair (1968): Northeastern U.S.
On Her Majesty's Secret Service (1969): England and the Continent*
Mad Men (2007-2015): Northeastern U.S.
*all Bond films in order, aided by this site, are helpful for the '60s to today
Love Story (1970): Northeastern U.S.
The Ice Storm (1997): Northeastern U.S.
Class (1983): Midwestern U.S.
Oxford Blues (1984): England
Masquerade (1988): Northeastern U.S.
Reversal of Fortune (1990): Northeastern U.S.
Metropolitan (1990): Northeastern U.S.
I leave it to you to follow the 21st century development of classical, Anglo-American men's clothing.
Films Covering Multiple Periods
These feature some of the best coverage for certain periods and places (i.e., John Adams for American Neoclassicism through Romanticism, The Age of Innocence for 1870s New York, Brideshead Revisited for 1920s Oxford, A Beautiful Mind for post-war Princeton, etc.). They are also fun to watch once you have a feel for historical development and can identify the period from the clothes worn.
John Adams (2008): 1770s-1820s: Eastern U.S., France, and England
The Age of Innocence (1993): 1870s-1910s: Northeastern U.S. and France
Forsyte Saga (2002-2003): 1870s-1920s: England
Goodbye Mr. Chips (1939): 1870s-1930s: England
Downton Abbey, (2010-2015): 1910s-1920s: England
To Serve Them All My Days (1980-1981): 1910s-1930s: England
The Aviator (2004): 1910s-1940s: mostly California
Brideshead Revisited (2008 & 1981): 1920s-1940s: England
A Beautiful Mind (2001): 1940s-1990s: Northeastern U.S.