"Belle Epoque" is a Spanish film (directed by Fernando Trueba), and it won the Oscar for Best Foreign Language Film in 1993. The title refers to a period of time in from the late 1800s until the beginning of World War I in 1914; however, it's a bit misleading since it takes place in the 1930s. I think it is a marvelous film and it features some of the best actors in Spain.
As Steve wrote, I would also recommend Pedro Almodovar; however, keep in mind that some of his films have rather strong content and aren't necessarily for the faint of heart. That said, one of my favorite Almodovar films is "Women on the Verge of a Nervous Breakdown" (Mujeres al Borde de un Ataque de Nervios) which was his breakthrough film in the US and features a very young Antonio Banderas. It was nominated for an Oscar for Best Foreign Language Film in 1989. Also, I love "All About My Mother" (Todo Sobre Mi Madre), and it won the Oscar for Best Foreign Language Film in 1999. It stars Penelope Cruz and it brings me to tears every time I see it. Lastly, I think "Volver" is really great, and Penelope Cruz was nominated for the Oscar for Best Actress in a Leading Role in this film. I love seeing Carmen Maura -- who is the star of "Women on the Verge of a Nervous Breakdown" -- make a comeback in this movie. Also, the fabulous Chus Lampreave is in all of the above films except "All About My Mother."
One film that has great scenery shots of Barcelona is "L'Auberge Espagnole (The Spanish Apartment)." It's mostly in French and it's about a French graduate student living in Barcelona, but parts of it are in English and Spanish, too. Audrey Tatou has a small role in this movie.
As Steve said, the films by Mexican director Guillermo del Toro are very good. The Spanish name of "Pan's Labryinth" is "El laberinto del fauno," and I mention that only because I was scolded one time for saying "El laberinto de pan" by a Spaniard.
I haven't seen "El Orfanato" but it received excellent reviews.
You really might want to try to see some movies with Javier Bardem as he's an fantastic actor, too. "Vicky Cristina Barcelona" is in English (and also stars his girlfriend/perhaps fiance Penelope Cruz, who won the Oscar for Best Actress in a Supporting Role for this film) and has some wonderful shots of Barcelona and Oviedo. I thought he was absolutely magnificent in "The Sea Inside" (Mar Adentro) which won the Oscar for Best Foreign Language Film in 2005.
There are many, many other good Spanish films, of course. But, these should be the most accessible to you, and as you can tell, they've been recognized here in the US. Incidentally, Pedro Almodovar's latest film, "Broken Embraces" (Los abrazos rotos) stars Penelope Cruz and just made its US premiere in New York last week. It should be opening in other US theaters at the end of December.
Enjoy!