F for Fake by Orson Welles. Documentaries on art forgers (not 'how this art forger was caught!' which is of secondary importance) all tend to be interesting, but this is transcendent.

The Pervert's Guide to Ideology' by Slavoj zizek/Sophie Fiennes.

Hypernormalization* is an Adam Curtis doc so you'll love or hate it, but I think it's his best one.