Grizzly Man - Probably the best movie this year. An amazing look into the mind and life of Timothy Treadwell, who spent 13 summers living with wild grizzlies in Alaska and was subsequently killed by them. Stunning movie.
Hearts & Minds - Great documentary about the Vietnam War, very gut-wrenching stuff.
Hoop Dreams - It sounds like it'd be cheesy, but it's a fantastic look into the struggles of two inner city youths, not only on the courts, but in life as well.
Scratch - Awesome documentary on the history of turntablism. A must-see for any hip-hop fan and anyone looking to see what true skill some people have.
The Up Series (Seven Up, Seven Plus Seven Up, 21 Up, 28 Up, 35 Up, 42 Up) - Great series of documentaries profiling the lives of a group of 7-year olds. They went back every 7 years to check up on them, and it's great to look into peoples' lives and see how they change and what they've accomplished.
The Rolling Stones: Gimme Shelter - Even if you don't like the Stones, it's a great documentary on the infamous Altamont Concert and the tragedy that ensued.
Lost in La Mancha - Documentary on Terry Gilliam's Don Quixote movie that never got finished. Great look into the inner workings of a modern motion picture and the mind of a genius straining to work against adverse conditions.
Anything by Errol Morris, notably Gates of Heaven - Great thought-provoking film about a California pet semetary. For further reading, look at
Ebert's Great Movies article. Although I prefer The Thin Blue Line, Gates of Heaven is amazing as well. Also, see Fast Cheap and Out of Control, The Fog of War and Vernon, Florida.