For me, listening skills are the toughest part of learning a language. This is especially true of French, because the relationship between the word as it is spelled and the word as it is pronounced is...well, insane. And then there's le liaison, the blending of spoken words that gives the French language much of its fluid beauty--but also makes it much more difficult to understand.
As always, the answer is practice. The best thing to do, of course, is to find a rich and sexy Francophone of whatever gender you prefer, marry them, and speak French over glasses of Bordeaux while summering in Marseilles. I could do that...but I don't wanna. In fact, most people find this option difficult to actualize for one reason or another. So we have to find another way.
Fortunately, through the magic of globalization, multimedia and the internets, there's no shortage of materials available for those of us who want to practice our listening skills stateside over a glass of Sam Adams after work. For example, over a series of tubes, you can listen to French or Quebeçois radio online:
Quebec Radio Online - guide to streaming radio stations, most of which are in Quebeçois French.
Listenlive.eu - Great resource for listenign to European French.
Then, of course, there are movies. There are some terrific movies out of France, and I list a few of my favorites here. But I actually don't spend that much time with French cinema. Not a problem, because, in your oh-so-American DVD collection, right now, there's a frippin' treasure trove of French listening practice. Just go stick your copy of The Bourne Ultimatum or The Minority Report into the DVD player, and select French from the audio options. With many movies, you can also play the movie back with French subtitles, so there's reading practice in them there disks as well. Remember to be careful when buying foreign films on DVD--check the region code and make sure your player can swallow.
La Femme Nikita -- I'm not sure any other French movie has done so well in the American market. And why not? Pretty girl, lots of leg, and tons of violence. Damn good story, too, all anchored by the formidable presence of Tcheky Karyo.
La Cage aux Folles -- forget the American version. The French original is hilarious and charming in a way that we could never reproduce.
L'Homme du Train -- Quirky character study and crime drama. A lot of fun.
Les Miserables -- Adaptation of Victor Hugo's classic, simultaneously playing out the story in 18th century France and during the Nazi occupation. (No, it's not a musical.) If you aren't crying tears of joy at the end, you're either dead or you weren't paying attention.
Le Samourai -- Melville's classic portrayal of an obsessive-compulsive hit man. Much-imitated, rarely equaled.
Au Revoir, Les Enfants -- heart-rending autobiographical film by Louis Malle, concerning events at a boarding school during WWII.
Man Bites Dog -- Belgian "documentary" about a serial killer. Viscious satire, brutally funny...and sometimes just vicious and brutal. Not for the faint of heart.
Cyrano de Bergerac -- with Gerard Depardieu. Boy, is that man ugly. Even without the nose. Terrific actor, though.
The City of Lost Children -- Sort of like Chitty-Chitty-Bang-Bang on acid. Check it out.