Check out "Comedian." Its a documentary made by Jerry Seinfeld about comedians. It isn't that funny, but very interesting if you like stand up comedy.
"Mitch Hedberg: Mitch All Together" is very funny. Hedberg is one of the best up and coming. Very dry, abstract stuff. I really like his work.
All Richard Pryor.
"David Cross: Let America Laugh" is good. Lots of political stuff. you get to see heckling which is fun.