City of God, set in Brazil, helped me to realize how communal poverty can be. There is no privacy in the favela. There is no privacy because there is also no control over one's space. Everything is shared.
Another film that gave me some insight into how similar things are from place to place was the independent film Ballast, a small story about family grief set in the deep south. So much of this film reminded me of the northern midwest (the open spaces, the convenience stores, the particular types of crime, but mostly the relationship of the people to the landscape), I was surprised to find out that it was/is set in Mississippi.
I am not sure if you are referring to shooting locations or countries of origin. Foreign films are a good snapshot of their culture. They tell us what the culture views as important and how they choose to potray the content.
If you are talking about shooting locations, I think the goal is to not make it clear what country the filming is actually taking place in. You want to pretend that the film is taking place wherever the story is set. The exception is when films are shot on location, because in that case the real country adds authenticity.
Slumdog Millionaire is one of the most recent movies to depict the sometimes harsh realities of its country. Not every movie does that. For example, The Lord of the Ringsis set in New Zealand and other than the beautiful countryside, we see (learn) nothing significant about the country or the people. Far and Away is an accurate depiction of Ireland during a certain era, but to assume Ireland is only what we see in the movie would be as inaccurate as assuming America is still as depicted in The Gangs of New York. The era matters, as well.
The most evident answer is that until the list of films is specified, there can be no appropriate answer. I do think that it is very important to understand cultural contexts of films in order to understand or grasp their full meaning. For example, Kurosawa's "Rashomon" can help the viewer understand the cultural dimensions of post World War II. One understands the pain of Poland during World War II and beyond in watching Polanski's "The Pianist." When watching "The Rabbit Proof Fence," the viewer fully understands the implications of the Australian- Aboriginal conflict, and in a similar manner, the the power of Nair's "Salaam Bombay!" is that one gains a better understanding of modern setting of cosmopolitan India. Yet, without the list of films offered, most of these thoughts will be lacking in totality within the context of the question.