My favorite historical documentary (and it's on DVD, too): ANNE FRANK REMEMBERED.
I read THE DIARY OF A YOUNG GIRL in ninth grade and was so moved and affcted by it, that it has haunted me ever since. Didn't see the movie version for years after I read the diary, and I've never seen the play onstage.
ANNE FRANK REMEMBERED gives all the background on her while taking us to the actual locations where she went to school, lived, and played. We meet her friends (who survived) and, of course, her father. We get more details about the two years the family spent in hiding, and then the really interesting part which is the details of what happened after they were discovered. I found all of this riveting.
One of the more deserved Oscars for best Documentary went to this film.