Capturing the Friedmans is creepy but compelling. Same goes for
Brother's Keeper.
Spellbound and
Wordplay are fun. There are a slew of enjoyable docs in the "quirky people engage in geeky competition" subgenre.
Michael Moore and Morgan Spurlock are very funny if you're into political stuff. The conservative "responses" to their movies are -- not to be too partisan here -- pretty wanting for decent direction.
It could be kind of crass at times, but I always thought
Insomniac had some really nice documentary qualities to it.
Nanook of the North and
Man With The Movie Camera are older, but they did a lot to determine the path of modern documentary. I think they're fun to watch.
Have fun!