My vote for Documentary is SENNA (full video is available YouTube link below, so no purchase necessary).
Ayrton Senna was one of the greatest racers, if not outright greatest human beings, to ever live. This documentary showcases him as a man, a racer, and a legend. Any other nominees for best sports documentary? ga_koshI love sports documentaries:
Fire in Babylon - it's the story of how the West Indies cricket team changed themselves from being perceived as a joke and becoming the dominant cricket team of the 70s and 80s, and in the process proving that they are better than their former colonial masters (cricket and colonialism are, as you might expect, thoroughly intertwined). Please don't let the fact that cricket is the subject put you off; no prior cricketing knowledge is necessary, and the entire film is interspersed with reggae and ska, it's fantastic.
I would also recommend Senna.
ESPN's 30 for 30 series is absolutely fantastic. Some highlights that come to mind (and forgive me if I don't get the titles right, I just remember the subjects) are the Bo Jackson episode, the Fab 5 and I think it's called Once Brothers, the Vlade Divac/Drazen Petrovic episode, is particularly good.
No No: A Dockumentary, a documentary on Dock Ellis who allegedly threw a no hitter while on LSD, is also incredible. Just a fascinating story.
There are loads and loads more that I'm forgetting, but I too would love to hear other's suggestions. I don't know about everyone else but for me often the sport involved doesn't even matter if the story is good, and so often it is.
Baseball by Ken Burns!