Errol Morris is really just the best. You can't go wrong with his documentaries: Gates of Heaven, The Fog of War, Cheap, Fast and Out of Control, A Brief History of Time, but my all-time favorite is Mr. Death: The Rise and Fall of Fred A. Leuchter, Jr.
No matter the subject of an Errol Morris documentary, you always leave his films having had a look into the life of a fascinating character. The combination of music, choice of subject matter and cinematography make his films cohesive and deeply beautiful, even when he's interviewing someone who, say, works with mole rats for a living.
Though the subject of Mr. Death may look questionable, the film goes in a very different direction than you might guess from the trailer. It might seem like it's going to get into gratuitous gore and focus on the prison system in the beginning, but give it a few minutes. Trust me, it's not all about electric chairs. (And if you don't like spoilers I wouldn't read anything about the film before you watch it.)