Into the Inferno - Werner Herzog. Documentary on volcanoes where the director allows the filming locations to bring other topics to the forefront.
Lo and Behold, Reveries of the Connected World - Werner Herzog. Film about the internet.
The Thin Blue Line - Erol Morris. Film about a murder of a police officer that comes to a different conclusion than the court did about who the murderer is and led to the release of an innocent man and the incarceration of the guilty one.
The Civil War - Ken Burns. There's a reason it's a classic!
Good Intentions - Walter Williams. Film about how economic policies that sound good often have the reverse effects that they intend to have.