One of the first foreign films I watched was "Cinema Paradiso" which till this day is one of my all time favorites. When someone new to foreign films asks me where to start I always suggest this film.
It's beautiful to watch the score is terrific, it stays with you for ever and the innocent love story is pure and simple.
Almodovar's films are also a good place to strat. He's most recent one, "All About My Mother" now showing on Bravo.
Others, "Tie me up Tie me Down" (My personal favorite)
"Women on the verge of a nervous Break down" You can search on the deatabase for more of his films.
Ingmar Bergman is also a great start if you are into older films. 