I just got through reading this thread. Some very good choices here.
About The Bridge; one of the people appearing in is a former coworker of mine! I had no idea about his roommate. It was a shock to see him.
Meanwhile another documentary just came out, which no one should see, because it has a very naïve viewpoint about foreign affairs. I know someone in that as well.
I will second, third, fourth, and fifth any and all recommendations for the works of Adam Curtis. Once you watch Century of the Self and The Trap, the way you look at society will never be the same. All watched over by machines of loving grace is also important to watch especially if you work in the technology field.
We Steal Secrets is also very good.