I heard that "Who Killed the Electric Car?" one is supposed to be a bit on the pompous side. I still want to see it though.
As I am currently obsessed with Werner Herzog I feel I have to recommend any of his documentaries even the ones I haven't seen. My Best Fiend is a must see though.
Also, The Fog of War: Eleven Lessons from the Life of Robert S. McNamara by Errol Morris is pretty fascinating stuff.
Also, I must plug my friends documentary Brand New World also. See here:
www.brandnewworld.org.uk