Zodiac (2007): directed by David Fincher
This movie has nothing to do with Independence Day, but its chilling opening scene takes place on July 4th, 1969, when the first of the Zodiac Murders occurred. And any excuse is a good excuse to watch Zodiac again.
Mystic River (2003): directed by Clint Eastwood
If you've seen the movie, you know how sad and affecting its final scene is. It's a parade clearly marking something related to American independence and the country's spirit. Except that, unbeknownst to all but a few in the crowd, a horror lurks underneath everything, a sense of misplaced justice. And you can see it all on Marcia Gay Harden's face, as she grasps the enormity of precisely what has happened.
Jaws (1975), directed by Steven Spielberg
When you think great 4th of July scenes in movies, you can't help but think of Jaws. There's the scene shown here and the actual July 4th shark attack scene soon after it. "You open the beaches on the Fourth of July, it's like ringing the dinner bell, for Christ's sakes!"
Blow Out (1981): directed by Brian De Palma
Against the Americana and fireworks of the Philadelphia Liberty Day Parade, Brian de Palma sets his climax to Blow-Out, which acts as an effective counterbalance to any heightened sense of optimism in the American system. For both Nancy Allen and John Travolta, the red, white and blue event turns out to be anything but a chance to celebrate. Great film, though.