It's a great series, particularly visually, but the best is probably the 26 episodes of The World At War, commissioned in 1969 and aired on BBC in 1973.
The latter has a great many first person, eyewitness interviews - with Hitler's secretary as an example - that greatly fill out the commentary and visuals.
http://en.wikipedia.org/wiki/The_World_at_War
But I liked this newest one a lot too as it's primarily colorized and looks good in hi-def on a big screen.
Cowperson