An excellent fact based historical drama, not exactly a documentary but close:
The Sleep Room
It's a Canadian movie about some of the MK Ultra experiments done in Canada back in the 1950s. Even though I was quite familiar with the historical facts, I was riveted throughout this film.
You should try to see Food Inc. (along the corporate food chain concept) and I've heard The Cove is good too. If you wanted something lighter (mockumentary style), try American Vandal.