Depends on the war.
In the US, soldiers take an oath to uphold & defend the constitution. So they don't have to obey an illegal order.
Defending the nation from external military threats and from internal, criminal acts are the only two valid functions of government. If a war goes beyond defense and becomes an imperialistic war (to gain territory), then a Christian has a valid basis to object. Otherwise, military service is valid, and killing enemy combatants, though unfortunate indeed, is part of that valid service.