As a few others have said, the ESPN 30 for 30 are good. My favourite is June 17, 1994 which captures the various sporting events on the day in question and the emotions they generated, with O. J. Simpson's run from the police overshadowing an NBA Finals game between the New York Knicks and Houston Rockets, the opening of the U.S.-hosted 1994 FIFA World Cup, the last-ever U.S. Open golf tournament round for Arnold Palmer, Ken Griffey, Jr. hitting a home run to add to his record-setting pace, and a parade in New York after the New York Rangers finally won their first Stanley Cup in decades.
Others I enjoy:
[youtube]http://www.youtube.com/watch?v=iQYoHiM-Uko[/youtube]
Well worth watching that on Jonestown, especially if you know nothing about Jim Jones.
I quite enjoy the documentaries about Columbine and 9/11 too.
And basically anything done by Nick Broomfield is top. Kurt and Courtney, Biggie and Tupac, Heidi Fleiss, the two docs he did about Aileen Wuomos.
For Manchester music fans there's quite a few decent ones knocking around about Joy Division, Factory and The Smiths. If you haven't seen either Control or 24 Hour Party People I suggest you get on it.
I'm a bit of a conspiracy nut too, so the "Cranberry Sauce: Paul is dead hoax" is worth watching even if you don't believe it!