In reply to Dominicandave:
Anything directed by Adam Curtis (Bitter Lake, Power of Nightmares, Century of the Self), Alex Gibney (Going clear, Enron: Smartest Guys..., Taxi to the Darkside), or Asif Kapadia (Senna, Amy).
For science stuff I'd agree with nathan79 on Prof Ian Stewart and Dr Jim, would also add Marcus du Sautoy to that and maybe Mark Miodownik. With a bit of searching you can find most of their stuff online. Never been a fan of Cox either.
Anything that's been on Storyville (BBC4) is usually worth watching. From the last few years I particularly liked Lockerbie: My Brother's Bomber, Searching for Sugar Man, and Which Way is the Front Line from Here?
Post edited at 19:50