He uses "Elendil" a lot in the books, but in the movies it should be in the Fellowship of the Ring, when Frodo ran away and Aragorn stayed behind to fight the Uruk hai. I'm just not sure if it's in the normal movie or directors/extended versions.
"Battle cries are "supposed" to strike fear in the heart of the enemy. Screaming Elendil and Elbereth Githoniel were ways of taunting the orcs. Now when Merry shouts EG as he attacks the Witch King, this name is so powerful that it actually helps weaken the WK so Eowyn can destroy him."