I think the funniest documentary I've ever seen is American Movie. You simply cannot go wrong with this Wisconsin "slice of life" tale of low-budget filmmaker Mark Borchardt and his struggle to complete a "Coven", a film whose profits are to be used to fund the film he's really wanting to make. It seems, despite their many flaws, that all the characters you meet along the way (the hilarious ex-junkie Mike Schank, the penny-pinching, over-the-hill uncle Bill, etc.) really are possessed with hearts of gold.
Also set in Wisconsin, Wisconsin Death Trip is finally coming to DVD February 27th. The DVD will also include the documentary of the making of the documentary (pretty confusing, isn't it?) that was done by different filmmakers. WDT is the tale of the bizarre history of a small Wisconsin town whose past has been littered with human suffering, unspeakable acts, and just plain bad luck. Based on the picture-filled book of the same title.
Crumb, recommended above, is a fascinating account of the life of underground cartoonist Robert Crumb ('60s-present, responsible for "Fritz the Cat"), who was recently portrayed as a supporting character in the acclaimed "American Splendor". Crumb is amazing and can be viewed as somewhat depressing or uproariously funny. I chose the latter.
Any of the Ken Burns documentaries, while expensive, are definitely worthy of consideration: The West, The Civil War, Baseball, Jazz, etc.
Also recommended: Trekkies and The Beatles Anthology.