The Thin Blue Line
Hoop Dreams
Kon-Tiki
Le Monde Du Silence
The Man Who Skied Down Everest
Buena Vista Social Club
Fog Of War
Dark Days
Children Underground
Murderball
And from my favorite documentarian of all:
Bells from the Deep: Faith and Superstition in Russia
The Great Ecstasy of Woodcarver Steiner
Werner Herzog Eats His Shoe (not directed by Herzog, but starring him, and his shoe)