Heat is probably the best, I agree. It combines amazing characters and story with top shelf acting by a cast of heavy hitters - Pacino, Deniro, Sizemore, Kilmer, Judd, and many others. I love the many side story lines involved. It's a remarkable piece of film. And incredible shootout scenes. It's a definite favorite with endless re-watchability, not just the famous bank heist scene.
Here are others that I like, and would recommend, for similar reasons.
* Ronin (little known, much overlooked film nearly as good as Heat)
* Band of Brothers series (WWII)
* Saving Private Ryan (WWII)
* Collateral
* Pacific series (WWII)