The Guardian's film blog has a couple of excellent posts on the impact Thatcher and Thatcherism had on British films.
Two films from the late 90s come to my mind as interesting depictions of Thatcherism. Brassed Off (1996) and The Full Monty (1997) both depict life in towns struggling with the transition (which Thatcher set in motion in the UK) from an industrial to a service economy. They're also about unemployment and changing notions of male identity.
I found the nostalgia of both films for the old industrialised economy misplaced. As a whole, Britain is a richer and healthier and cleaner place for closing its coal pits, selling state assets, reducing union power and generally moving to a new economic model.
But the nostalgia of these films is really for a lost sense of community, and that sentiment is not at all misplaced.
In fact, it reveals one of the strange contradictions of Thatcher's capitalist conservatism: capitalism, as we saw when Thatcher unleashed it on Britain, is a revolutionary force (Boris Johnson: 'Margaret Thatcher was a revolutionary and a liberator'), whereas conservatism is all about continuity and social cohesion. Brassed Off and The Full Monty both mourn the passing of the old social contract.
Still, it's worth remembering that the world Britain left behind wasn't all brass bands and friendly local pubs. My mental picture of what Britain was really like in the 70s and 80s is formed by shows like Minder and The Sweeney, and the unrelentingly grim Michael Caine picture Get Carter.