Someone on this board (Martin maybe) previously recommended "Dear Zachary" -- that was great but it is really heartbreaking stuff that haunted me. I don't cry much from movies but that one had me sobbing.
I saw that one too, on the basis of an FOT rec. I went in cold, knowing nothing about it, as the recommender had said I ought to, and holy shit, is it upsetting. A true feel-bad movie, but a pretty fascinating story.
I also like the Adam Curtis collection, mentioned above. I recently watched Jon Ronson's series "Crazy Rulers of the World" which was adapted into "The Men Who Stare at Goats." It seems totally nutty to have turned this into a fiction film, because the whole appeal of it is seeing real footage with real people demonstrating and explaining the crazy stuff that the U.S. military was/is doing. It's not totally convincing, but it's pretty interesting and funny. Also: worst title ever - what were they thinking?