Some fantastic suggestions here. Let me third
Gimme Shelter and second
Visions of Light...great stuff!
I'd like to add
Mr. Death, a very quirky and haunting documentary about an individual who is off-beat, to say the least. Sadly, this is so far the only Errol Morris film to be out on DVD.
Some other documentaries:
Don't Look Back - Bob Dylan in all his snotty mid-60's glory.
The Celluoid Closet - Very entertaining look at the ever-changing Hollywood viewpoint of gay/lesbian movies and actors.
A Personal Journey with Martin Scorsese Through American Movies - Simply put, if you love movies, you should check out this massive 5-hour documentary. It's like having Scorsese in your living room dissecting films for your pleasure. It's also a pretty good cinematic history lesson as well.
Theremin: An Electronic Odyssey - Facisnating look at the very distinctive, high-pitched instrument. Worth it for the odd interview with ex-Beach Boy Brian Wilson.
And though they aren't out on DVD yet, you might want to look into the following:
Gates of HeavenHearts of Darkness: A Filmmaker's ApocalypseThe Thin Blue LineParadise LostFast, Cheap and Out of ControlShoahBurden of Dreams