The Devil and Daniel Johnston
http://www.imdb.com/title/tt0436231/
and
Tarnation
http://www.imdb.com/title/tt0390538/
were 2 documentaries that I have seen fairly recently that I really liked.
Tarnations is pretty interesting because the director is actually making the documentary about himself. He has been recording a video journal since he was a kid. It comes off as slightly narcissistic, but is really well made and has some great artistic qualities.
The Devil and Daniel Johnston is about a somewhat legendary and disturbed indie/alternative folk hero who inspired many grunge and alternative bands.