Here are a couple of great historical documentaries I've watched recently.
World War II: Behind Closed Doors (available on Amazon as a 2-DVD set)
This documentary shows all the cynical scheming of political leaders that went on behind the scenes while troops and civilians were fighting and dying. If you're a diehard Churchill fan, this program may come as a shock. It protrays him as very duplicitous and machiavellian in his goal of trying to manipulate the Allied Powers to preserve and resurrect the British Empire after the War.
Next up is "The Lost World of Communism." This is a gem of a program that shows what life was really like in communist Eastern Europe in the years up to 1989 when the Berlin Wall fell. This is a must watch, but unfortunately it's only available on DVD in Region 2 & 4, not North America. But it's available if you really look. Anyone enamored of Marxist-Socialist ideals better take a look at the toll communism took on society and particularly how it degrades people and drains the human spirit.