Exit Through the Gift Shop
The two that I will watch over and over again. I had reservations about Exit but I had heard enough good things about it. And I watched it and damn! It was very interesting not for it's subject matter, but for it's subjects. Hoop Dreams is the shit.
Other than that it's up to tastes. I like documentaries like No-Impact Man and King of Kong: Fistful of Quarters
Here, if you've got Netflix: http://www.clicker.com/blog/the-75-m...flix-7704.html