| Year | Film | Role | Notes |
| 1974 | The Execution of Private Slovik | Kid at Wedding | NBC TV-movie; uncredited part. |
| 1979 | Apocalypse Now | Extra |
|
| 1984 | Red Dawn | Matt Eckert |
|
| Silence of the Heart | Ken Cruze | CBS TV-movie |
| 1985 | The Fourth Wise Man | Captain (Herod's Soldiers) | TV-movie |
| Out of the Darkness | Man Shaving | CBS TV-movie |
| The Boys Next Door | Bo Richards |
|
| 1986 | Lucas | Cappie |
|
| Ferris Bueller's Day Off | Garth Volbeck-Boy in Police Station | Cameo |
| Platoon | Private Chris Taylor |
|
| The Wraith | Jake Kesey |
|
| Wisdom | Hamburger Restaurant Manager | Cameo |
| 1987 | Wall Street | Bud Fox |
|
| No Man's Land | Ted Varrick |
|
| Three for the Road | Paul |
|
| Grizzly II: The Predator Concert | Ron | Unreleased
filmed in 1983
|
| 1988 | Never on Tuesday | Thief | Uncredited Cameo |
| Eight Men Out | Oscar 'Happy' Felsch |
|
| Young Guns | Richard "Dick" Brewer | Bronze Wrangler Award |
| 1989 | Tale of Two Sisters | Narrator | also writer (poems) |
| Major League | Ricky 'Wild Thing' Vaughn |
|
| Catchfire | Bob | Cameo |
| 1990 | Cadence | Pfc. Franklin Fairchild Bean |
|
| Courage Mountain | Peter |
|
| Men at Work | Carl Taylor |
|
| Navy SEALs | Lt. (j.g.) Dale Hawkins |
|
| The Rookie | David Ackerman |
|
| 1991 | Hot Shots! | Lt. Sean Topper Harley |
|
| 1992 | Beyond the Law | William Patrick Steaner/Daniel "Dan" Saxon/Sid |
|
| Oliver Stone: Inside Out | Himself | Documentary |
| 1993 | National Lampoon's Loaded Weapon 1 | Gern, Parking Valet |
|
| Deadfall | Morgan "Fats" Gripp |
|
| Hot Shots! Part Deux | Lt. Sean Topper Harley |
|
| The Three Musketeers | Aramis |
|
| 1994 | Charlie Sheen's Stunt Spectacular | Himself | TV-movie |
| Terminal Velocity | Richard 'Ditch' Brodie |
|
| The Chase | Jackson Davis "Jack" Hammond | also executive producer |
| Major League II | Ricky 'Wild Thing' Vaughn |
|
| 1996 | Loose Women | Barbie Loving Bartender | Cameo appearance |
| Frame by Frame |
|
|
| All Dogs Go to Heaven 2 | Charles B. "Charlie" Barkin | (only voice) |
| The Arrival | Zane Zaminsky |
|
| 1997 | Money Talks | James Russell |
|
| Shadow Conspiracy | Bobby Bishop |
|
| Bad Day on the Block | Lyle Wilder | also known as Under Pressure |
| 1998 | Postmortem | James McGregor |
|
| A Letter from Death Row | Cop #1 | Cameo |
| No Code of Conduct | Jacob "Jake" Peterson | also executive producer and writer |
| Free Money | Bud Dyerson |
|
| Junket Whore | Himself | Documentary |
| 1999 | Lisa Picard is Famous | Himself |
|
| Five Aces | Chris Martin |
|
| Being John Malkovich | Himself | Nominated – Screen Actors Guild Award for Outstanding Performance by a Cast in a Motion Picture
Nominated – Online Film Critics Society Award for Best Cast |
| 2000 | Rated X | Artie Jay "Art" Mitchell | Showtime TV-movie |
| 2001 | Good Advice | Ryan Edward Turner |
|
| Last Party 2000 | Himself | Documentary, uncredited |
| 2002 | The Making of Bret Michaels | Himself | Documentary |
| 2003 | Scary Movie 3 | Tom Logan |
|
| 2004 | The Big Bounce | Bob Rogers Jr. |
|
| Pauly Shore Is Dead | Himself | Cameo |
| 2005 | Guilty Hearts | Charlie Sheen | segment "Spelling Bee" |
| 2006 | Scary Movie 4 | Tom Logan | Uncredited Cameo |
| 2010 | Wall Street: Money Never Sleeps | Bud Fox | Uncredited Cameo |
| Due Date | Himself/Charlie Harper | Cameo |
