I watch a lot of documentaries. I liked Exit Through the Gift Shop too, but I'm only about 88% sure it isn't a hoax.
This should get you started:
Alone in the Wilderness
http://www.imdb.com/title/tt0437806/ 8.8/10
A guy lives by himself in Alaska and documents decades of his life out there, from building the cabin. There is a second part where he is much older and still living at the same place too. A must if you enjoy the outdoors.
Errol Morris - Everything.
http://www.errolmorris.com/
I am pretty much a whore for everything Errol Morris has ever done. From his recent IBM documentary on YouTube to his handful of NYT features, his entire First Person TV series (the one about Denny Fitch is simply amazing), and every one of his movies (Standard Operating Procedure being my fav); shit, I even like his commercials.
NOVA - Parallel Worlds, Parallel Lives and Lord of the Ants
http://www.pbs.org/wgbh/nova/
NOVA is an old favorite still airing on PBS and these are 2 good recent-ish episodes. The first is about the frontman of The Eels and his famous physicist father, the second is about a guy who knows "more about ants than anyone in the world" and they ain't kidding. All NOVAs are totally watchable. Same with NOVAScienceNow and Nature -- both on PBS.
The Power of Myth by Joseph Campbell
http://www.imdb.com/title/tt0296362/ 8.5/10
If you're going to learn about Greek Mythology and the influence it has had and continues to have on contemporary culture, you should learn from the master. It's pretty much 6-8 hours of him lecturing; a tiny bit boring, but extremely interesting if you're at all into classics.
The Donner Party by Ric Burns
http://www.imdb.com/title/tt0104124/ 8.6/10
This documentary gets seriously fucked up. It's extremely well done. The best part about it is how much material they had to work with. Dozens of original letters are read by good voice actors along with a lot of visual material and it really draws you into a very dramatic story.
Bellevue Inside Out
http://www.imdb.com/title/tt1194691/ 7.5/10
This is about the psych ward at the Bellevue hospital in NYC. It follows a handful of very mentally ill patients and the doctors that treat them. The Bellevue Hospital is pretty famous and you'll hear it casually referenced in a lot of lyrics/writing from NYC.
Dark Days
http://www.imdb.com/title/tt0235327/ 7.8/10
This is about people living under the streets of NYC in partially abandoned subway areas and various tunnels. It has a really good soundtrack done by DJ Shadow.
Our Daily Bread
http://www.imdb.com/title/tt0765849/ 7.5/10
This documentary has no interviews, no voiceovers, no questions, no answers; it is just a camera, lighting, and sound equipment put next to interesting steps in "where food comes from". It's not particularly gross or anything, it's actually quite serene most of the time.
Man on Wire
http://www.imdb.com/title/tt1155592/ 8.0/10
I think this won an Oscar a couple years ago. It is about a very interesting French person who decided, in 1974, to tight rope walk between the two towers of the World Trade Center. As you can guess from the poster, he was successful, and the story is pretty interesting; but mostly it's about the characters.