here are some favorites off the top of my head..
Zabardast: i'm partial to climbing/expedition docs, but this one is especially good. a travel diary of a group of voyagers exploring the remote lands of Pakistan to freeride ski down its mountains.
Night Fog: very heartbreaking look at WWII concentration camps
Dark Days: documents the lives of the homeless people living in the tunnels underneath New York City, without being intrusive or voyeuristic
Don't Look Back: self-explanatory (Minnesota's sweetheart)
