CSA is not really a documentary, though. It's an alternate history spoof. I rather enjoyed it.
Anyhow, some suggestions:
Joy Division - I accidentally got this 2007 documentary about the band instead of the 2006 feature film, but it was rather enjoyable all the same. Slickly put together, talking heads, opens with a quotation from 'All That Is Solid Melts Into Air', interesting contextual material.
Adam Curtis's docmentary series (eg
Pandora's Box,
The Power Of Nightmares,
The Trap,
The Mayfair Set,
The Century Of The Self) are generally very compelling, though he does tend to retread the same ideas, events and people in them.
I saw a very absorbing 2006 documentary about the Spanish Civil War, which focuses on Ethel MacDonald, a young Scottish woman who travelled to Spain to become part of the revolution. It was called
An Anarchist's Story, and was directed by Mark Littlewood and produced by Pelicula Films for BBC Scotland, though I cannot find it on IMDb.
Sean Langan's films - like Dispatches: Meeting The Taleban[/i],
Dispatches: Fighting The Taliban and
Travels With A Gringo - are rather personable.
If we are stretching into docudrama, 1990's
Shoot To Kill is an interesting look at the E4A/SAS shootings in 1980s Northern Ireland, directed by Peter Kosminsky.
Who Bombed Birmingham?, from the same year, looks at the IRA's Birmingham bombings, and the arrest and conviction of six innocents.