I'm trying to think of some movies that are either based or shot in Oklahoma. Off the top of my head, I can come up with:

Oklahoma! (of course)
Far and Away
The Outsiders
Keys to Tulsa
Twister
UHF
Thelma and Louise (I think)
Saving Grace (tv series)

That's all I can think of off the top of my head. I searched IMDB and came up with a bunch of movies with Oklahoma in the title. I didn't count those, however (not off the top of my head).