I watched The Death of Yugoslavia some time early last year and it is hands down the best historical documentary I have ever seen made for television. I think what really elevated it for me is that the period it deals with is recent enough that there is film of almost literally everything. The parliamentary walkout of (if memory serves) SDS representatives was absolutely electrifying viewing, and the kind of history that simply wouldn't have been caught on camera if it had happened 20 or 50 years earlier.
I also saw The 50 Years War: Israel and the Arabs, which I think was made by many of the same production staff, and was also a very interesting watch.
I've seen two of those ESPN 30 for 30 documentaries. The one on Wayne Gretsky was interesting because I know virtually nothing about ice hockey, but have always had an awareness that Gretsky was like the Michael Jordan of the NHL - basically untouchable by any other player he played with or against. It was also fascinating to see the way that the big money culture of trading athletes came to pass in a sport other than football, which is obviously what most people spend their time talking about in this country.
Also saw the one on the career and untimely death of Len Bias. I've always really enjoyed basketball, even if I don't have the time to follow the professional game. This one was a really tragic story that I probably never would have come across if the film hadn't been made. Rare to get such insight out of sport-related programming, especially coming from the States where sport broadcasting is usually so brash and superficial (to generalise wildly).
Of things I've seen recently, the one that's stuck with me the most is Blue by Derek Jarman. It might be a bit of stretch to call it a documentary, I dunno? It is basically his meditations on dying of AIDS (he passed away 4 months after the film was made), narrated by him, but with contributions from various of his artistic collaborators. The only visual element is a constant (but peculiarly dynamic) shade of blue that fills the whole screen, meant to reflect the deterioration Jarman experienced as his disease robbed him of his sight along with the rest of his health. It's chilling and touching and I think quite an important historical document from a period when understanding of HIV/AIDS was shifting more into the mainstream. Whole thing's on youtube: