Which ones are your favourites?
I just watched this one ( http://www.imdb.com/title/tt0102015/ ) about the making of Apocalypse Now an I think it is possibly the best I've ever seen. Features recordings of Coppola in private completely unaware he's being recorded and all sorts, fascinating.
Honourable mentions go to pretty much every film by Errol Morris, Roger&Me (even if it's all biased lies), King of Kong (same) and Dear Zachary (same).
Also just got my hands on Michael Apted's Up Series which I've ridiculously high hopes for.