I'm fond of Werner Herzog's documentaries, although many of them are more like narrative films. His most well known is probably
Grizzly Man, and it's one of my favorites along with
The White Diamond,
Encounters at the End of the World, and
Lessons of Darkness.
from Lessons of Darkness:
A fairly obscure documentary about Bob Marley's funeral called
Land of Look Behind is surprisingly interesting, and very unusual. Bob Marley and his death are just one aspect of the film and it kind of meanders along and gives the viewer a look at various lives and aspects of Jamaica, especially Rastafarians.
Here's a clip:
I haven't seen too terribly many documentaries outside of Herzog's work, but I do love
Lost in La Mancha, about Terry Gilliam's doomed production of
The Man Who Killed Don Quixote (which still has hope of being made!).