Yeah, anything by Ken Burns is always worth checking out. I especially like his, Lewis & Clark:The Journey of the Corp of Discovery, it's very cool.
Hey, me and BlueBalls :thefinger actually agree on something. :tongue: No Direction Home, is a good doco if you like Bob Dylan, and it's directed by Martin Scorseze.
Also, Little Deiter Needs to Fly is really good, and it was directed by Werner Herzog.