Inside Job is the only recent documentary I would consider really "must see."
More generally, anything by Adam Curtis (Pandora's Box in particular, but also The Century of the Self, The Power of Nightmares, and The Trap)
The stuff by Errol Morris is good, as is Herzog's work.
A personal favorite is The Mindscape of Alan Moore.
Exit Through the Gift Shop was good, but isn't really about Banksy per se.