Broad Street Bullies if you like hockey.
Food Inc. if you want to never eat fast food again.
Iron Maiden Flight 666 because it's Iron Maiden
Religulous, Zeitgeist, Restrepo, Mugabi and the White African, Love the beast, and of course The Corporation are necessities with a documenary collection.
If you can count series as docs as well the Ross Kemp on gangs amd the Long Way Round are really good.