i'm already reasonably advanced in learning (having a two-year-old learning the language is really useful - "spot's big lift the flap book" -"pupen touhoukas päivä" is highly recommended) and i know from experience that just listening and knowing what's going on is really useful and helps the "immersion" significantly. "poika ja ilves" was quite well done - "tommy and the wildcat" in english - it was filmed in both languages and the story's pretty obvious, so you can get on with the language.
"Lapin Kullan Kimallus" was excellent - i have no idea how good the subtitles are because i was stunned by the scenery...

but the language is cool, and you have a reasonable chance of getting the story.
I've also just picked up a copy of "life of brian" on DVD with finnish subtitles at the virgin megastore in leeds - the subtitles seem pretty good so far....
it's not something i'd recommend for beginners.
How else are you learning?
Bret