Latias appears in the fifth Pokémon movie, known in the US as Pokémon Heroes as in Japan as Guardian Gods of the City of Water: Latias and Latios. Like most Pokémon movies it's pretty ridiculous, but it's a fun watch if you've got some time on your hands.
The movie centers around the city of Alto Mare, which has a legend that a Latios and a Latias saved the city from destruction long ago. As such, the people believe that the pair are still protecting them to this day. Sure enough, Latias and Latios are still around.
In the film, Latios and Latias show off a couple of neat skills: they can both go invisible, and they've both got a knack for a kind of astral projection to each other. The latter turns out to be terribly convenient when they get separated and need to tell each other what's going on. Latias can also turn into a human form: that of a young girl with a very distinctive hairstyle. This happens to be the identity of a real girl who lives in Alto Mare who helps protect Latias and Latios's sancutary on the island. The two of them get confused several times during the film.
The main conflict in the film is that there are two thieves (for once not Team Rocket) who want to capture Latias and Latios and the Soul Dew. Honestly, they're pretty goddamn awesome for Pokémon villains: they're both ladies with a lot of style. Of course their plan is ridiculous, but this is a Pokémon movie so that's to be expected.
What I did really enjoy about the film is that Latias has a ton of personality. She's clearly the more playful of the Eon duo, and gets involved with Ash mostly because she wants a new friend to play with. Watching them interact is absolutely adorable, and a real treat. It's also clear how much Latias cares for Latios, especially when Latios gets captured by the villains and it's up to her to save him.
As a side note, the dub for this movie completely changed a lot of the plot and wrote out the backstory for the Latios twins at the start of the movie (a really nice segment); I recommend watching the original Japanese instead of the dub. It's actually pretty good as far as Pokémon movies go.
Latias has a few other miscellaneous appearances throughout the Pokémon anime and manga; you can find a full list on Bulbapedia.