Which one are we watching?
Which one we're watching?
Is it common to do this? Sometimes I see it, but many native English speakers tell me that I should add the are.
"Which one are we watching?" is a question. "Which one we're watching" is an incomplete sentence (a noun phrase, I believe).
"I don't know which one we're watching" would be a complete question.
More information on how to form questions in English. The auxiliary "to be" verb is required, one way or another.