The World at War narrated by Laurence Olivier is an absolute classic documentary. If you haven't seen it it's well worth a few hours of your time.

Fahrenheit 11/9 is worth a watch just for the sheer 'how the **** did they get away with that' element.

If you like sporting documentaries then Free Solo, The Barkley Marathons:The Race That Eats it's Young, Icarus, Senna, Pumping Iron and Freedom's Fury all spring to mind as worth a watch.