He was played by Kelsey Grammer in the first three X-Men movies (X-Men, X2, and X-Men: The Last Stand).
Nicholas Hoult took over the role for X-Men: First Class, X-Men: Days of Future Past, and X-Men: Apocalypse.
There hasn't been a Hank McCoy in the recent X-Men films, but he's a popular character and likely to return in future installments.