i've seen almost all of the films suggested here, but no one has mentioned my favorites:
Hearts and Minds
Manufacturing Consent: Noam Chomsky and the Media
both are worthy of multiple viewings. I'm a documentary nut, so i could list tons of stuff. pretty much anything by errol morris is good. Any of David Attenborough's nature series are awesome. some other ones to see:
Dark Days (about poverty)
Cane Toads (short, but entertaining)
Koyaanisqatsi and Powaqqatsi (i didn't care much for Naqoyqattsi, although the music was good)
The Corporation (not on dvd yet, but should be soon i think)
Shoah (very long, only the patient will be able to handle this, but it is good)
The World at War series (incredible huge series on WW2)
almost forgot about Cosmos. I watched it shortly after Carl Sagan died, it was kind of an erie experience for me, almost like he was speaking from beyond or something, check it out if you haven't seen it. It holds up amazingly well for being over 20 years old.