I've watched King Of Kong. - Best Documentary I've seen in a long time.
20 Most Dangerous Drugs was interesting.
And the James May - Big Ideas series is awesome.

I've already recommended two with and about Werner Herzog - but his were simply the most memorable I've seen.
Land of Silence and Darkness - following a deaf and blind woman.
Gods Angry Man - about a televangelist. As impartial as it could possibly be.
My Best Fiend - about his relation with Klaus Kinski
Little Dieter Needs to Fly - The story of a Vietnam Veteran who was shot down, taken prisoner by the Viet Cong and managed to escape. - One of the best final shots in cinema history.