The closest movie theatre to campus, York Sq. offers first run films at an affordable price -- especially if you take advantage of the student discount. The screens are small, but they almost always have quality fare.
The Yale Medical School Film Society boasts one of the most impressive schedule of any college film society I've ever seen. It includes some films that are still in the theatres -- including stuff that's only recently been released. This fact, however, is somewhat diminished by the fact that every screening experiences somewhat significant sound problems, and lately have been too dim to make out the nuances of the actors' performances.
The Yale Film Society has a schedule that is a little harder to get into than that of the Med School's, but is still usually full of good films. The best part, though, is sneak previews of unreleased films that are available only to members.