Men In Black

This 1997 movie starred Tommy Lee Jones and Will Smith as government agents assigned to protect earth from aliens! Stationed in New York City, they are on the trail of an intergalactic assassin. The chase leads to the 1964 World's Fair site adjacent to Shea Stadium. 

Eventually a flying saucer flies across the night sky during a Mets game distracting Bernard Gilkey (this occurs about eighty minutes into the movie). So, the fans at Shea, so used to seeing jets fly over, get to see a UFO this time. In addition to Gilkey's cameo, there are some brief scenes of Shea Stadium both inside the park and outside.

The movie was directed by Barry Sonnenfeld and the screenplay was written by Ed Solomon. It is based on the comic book by Lowel Cunningham. A scene from the movie, along with scenes from other movies that showed Shea Stadium can be found here. (Thanks to Loge 13 for finding this site.)