Anything directed by Errol Morris. Maybe the best independent producer/directors of movie documentaries working today. His specialty is the offbeat: strange behavior, interesting personalities. When I saw one of his first films, Gates of Heaven (about pet cemetaries) I spent two hours trying to figure out whether to laugh or flinch. His bio of Stephen Hawking, A Brief History of Time, was great, too.
http://www.us.imdb.com/name/nm0001554/