American Movie * Hands on Hard Body * The Act of Killing * Jesus Camp * Minding the Gap * Man on Wire * The Thin Blue Line * Harlan County USA * I Am Trying to Break Your Heart * Don’t Look Back * Grizzly Man * Stop Making Sense * Hearts of Darkness * Lake of Fire * Hoop Dreams * Some Kind of Monster * Koyaanisqatsi * The Fog of War * When We Were Kings * Jiro Dreams of Sushi * Blackfish * Free Solo * Paradise Lost * The Cove * Honeyland * Pumping Iron * Style Wars * Dogtown and Z-boys * Anvil! The Story of Anvil * Undefeated * King of Kong * Gleason * The Imposter * The Queen of Versailles * Tickled * Senna * The Devil and Daniel Johnston * Beyond the Mat * OJ: Made in America * The Crash Reel * Scratch * Taxi to the Dark Side * Searching for Sugarman * Beautiful Losers * Endless Summer * Spinal Tap * The Jinx * Get Back * The Last Dance * Icarus * The Up Series * Cocaine Cowboys * The Staircase * Surfwise * Dance Moms
I think this is a good place to start.