I’ve enjoyed many of the documentaries mentioned above. One documentarian not mentioned yet whose films are well worth tracking down is Les Blank. He’s done some really good work with blues musicians, particularly Lightnin’ Hopkins. Look for:
The Blues Accordin’ to Lightnin’ Hopkins
A Well-spent Life (Mance Lipscomb)
A Poem is a Naked Person (Leon Russell)
His catalog is vast and includes films about Tex-mex, Mexican, Cajun, Bluegrass and other music genres.
if you happen to be a fan of Werner Herzog, you might enjoy Werner Herzog eats a shoe, about a bet Herzog made with Blank and lost.