Good Ones I've Seen:
DiG! (if you like rock docs)
King of Kong (if you like video games)
Cocaine Cowboys (if you like drug docs, or the vibe of 80s Miami)
Baraka (it's part documentary, part avant-garde film)
The Smartest Guys in the Room (I can't believe no one has mentioned it in this thread yet! It's about Enron)
Grizzly Man (Dude camps out in bear preserve and tries to be at one with the bears until he gets eaten.)
The Decline of Western Civilization (about the punk scene in LA in the 70s when it was still credible street music, if you're into that sort of thing. There are sequels about hair metal and 90s punk, but i think they kinda suck)
The Band That Would Be King (about a band called Half Japanese from Michigan)
Catfish (Great doc if you don't know what it is coming in, but It doesn't really have any re-watch value).
Jesus Camp (about a hardcore evangelical kids camp, CRAZY shyt)
Heavy Metal Baghdad (about a metal band in Iraq during the height of the US occupation)