While I like The Edge and The Iron Mistress I wanted to mention The Long Riders a good period piece by Walter Hill about the James Gang. A heckuva good knife fight between David Carradine as Cole Younger and James Remar as Sam Starr (if memory serves). They're both using BIG bowies and holding a ribbon from Belle Starr between their teeth. Sound track by Ry Cooder, you can't go wrong.
I second the earlier mention of The Last of the Mohicans IMHO it's the best at showing CQB with a knife and axe combo. Some very slick moves.
One more suggestion, but it's not for everyone. My girlfriend at the time wanted to see Spanish director Carlos Saura's movie Carmen starring Antonio Gades. It's about a flamenco dance troupe performing the opera Carmen as a flamenco dance. Lots of gorgeous women dancing their buns off. Plot twist is that the main dancers fall for each other and 'live out' the plot of Carmen, ending in a big knife fight with those wicked long Spanish Navaja folding knives. Interesting knife duel, unlike any I've ever seen...imagine a knife duel done with tons of dignity, pauses while the 'seconds' check details. Sounds weird, but I will say these flamenco dancers knew how to use those long knives, and they could make some impressive moves. Remember Gene Kelley leaping backwards over a chair in his version of the 3 Musketeers? I know I don't want to disagree with somebody who can bounce around like that. It's in Spanish with subtitles, and if you can't stand seeing a foreign movie full of pretty girls dancing in order to catch an impressive knife duel at the end, stay away.