Some good ones already mentioned in this thread. A few others I'll add...
Three-Five People (a heartbreaking Chinese documentary about how some criminals in Chinese cities get children addicted to heroine and use them to do petty thievery work)
Children of Fate (great documentary made by NBC or some other network around 1960 documenting poverty in post-war Sicily that was never broadcast because of fears of triggering Communist sentiments; the director's son returned to Sicily in the early 1990s, found some of the same people from 30 years earlier and re-edited the original film with the follow-up footage)
Abduction: The Megumi Yokota Story (documentary about a young Japanese girl who was abducted by North Koreans and the efforts of her parents to try and find her and get the North Koreans to return her to Japan)
Gaea Girls (an unbelievable documentary about Japanese women wrestlers and the incredible harsh treatment the young aspiring wrestlers go through to train and try and break into the so-called "fake" business)
Who Killed the Electric Car? (an investigation of how the automobile industry, the oil industry, politicians, and various other lobbying groups conspired to destroy the chances of the electric car as a viable alternative to fuel-based automobiles)
Enron: The Smartest Guys in the Room (I suppose it's obvious what this is about)
Mad Hot Ballroom (great uplifting documentary about New York school districts using a ballroom dancing competition to keep young children out of trouble and feel good about themselves... if you like this on you, you might also like
Spellbound, about kids competing in the national spelling bee)
Murderball (docu about a group of tough men who have suffered spinal chord injuries and compete in a harsh game that combines elements of basketball, rugby, and demolition derby in wheelchairs)
Tarnation (self-indulgent but intriguing docu about a kid who filmed jsut about everything from his childhood and then as a 20 year old, pieced the footage together into a portrait of who he is and why he is so f***ed up as a young adult)
Daughter from Danang (documentary about a young girl who was part of an airlift to "rescue" children from Vietnam at the end of the Vietnam War, she returns 20-some years later after basically growing up as an American to be reunited with her mother, and struggle with the ensuing culture shock)
Blind Spot: Hitler's Secretary (some may find this one boring, it's just a 2-hour interview with Hitler's former secretary, but from a historical perspective, it's fascinating)
Etre et Avoir (to Be and to Have) (sweet documentary about a one-room schoolhouse in the French countryside)
The Kid Stays in the Picture (great documentary about the life of Hollywood producer extraordinaire Robert Evans - a must-see for any film buff)
Senorita Extraviada (disturbing docu about numerous women in a Mexican town that have been disappearing for years and the police's inability, unwillingness or maybe even complicity in failing to make any progress in solving the crimes)
Promises (simultaneously depressing and hopeful, a documentarian goes to Israel/Palestine and links up young Palestinian kids with young Jewish kids and watches how they get along and break down their initial prejudices that have been instilled by their surroundings)
Raw Deal: A Question of Consent (mind-boggling and maddening documentary about a woman who is raped at a college fraternity, the frat boys videotape the whole ordeal, and the videotape is used to exonerate the culprits)
Eyes of Tammy Faye (as the name suggests, a sympathetic documentary about the recently deceased Tammy Faye Bakker)
The Times of Harvey Milk: The Mayor of Castro Street (documentary about Harvey Milk, the openly gay city councilman from San Francisco who was murdered, along with the SF Mayor, by another city councilman Dan White - a great insight into the history of SF and the early origins of gay activism in that city)
The Celluloid Closet (great documentary by the same directors of the above film, about the history of gay and lesbian images in Hollywood film history)
okay i'll stop there... that was more than a few

If I remember others, I'll add them later.