Other entries in the retrograde, propagandistic cinema of empire:
Lives of a Bengal Lancer
Gunga Din
The Sun Never Sets
Beau Geste
Stanley and Livingstone
The Charge of the Light Brigade
The Lost Patrol
Wee Willie Winkie
Storm over Bengal
Clive of India
There are a bunch more. If I had to pick one, I guess it would be The Four Feathers. Here's a two-page list of best selling ones:
http://www.alibris.com/search/movies/genre/British-Empire-Film
There are a bunch listed at Wikipedia, many of which could be seen as colonial/imperialistic:
http://en.wikipedia.org/wiki/British_Empire_in_fiction#Films
It is better to be kind than to be clever or good looking. -- Derek
I agree with pt100 that The Four Feathers (1939) belongs on your list. I'd add another Zoltan Korda film: The Drum (1938).
If you want to stretch slightly out of your time frame, and out of the "retrograde" into the more nuanced, I recommend Michael Powell's The Life and Death of Colonel Blimp (1943). I also like an underrated Tyrone Power vehicle, The Rains Came (1939).
For further titles, look for more films directed by the Korda brothers, and other adaptations of writers like A.E.W. Mason and Rudyard Kipling.
last 2 dvds: Tricheurs (1984) & Across the Bridge (1957)