Louis Theroux makes excellent documentaries.
The first lot are from the Weird Weekends series. There's quite a lot of them so I'll only put the ones I can find up.
Off Off Broadway
And a few of one offs:
Louis And The Brothel
Louis And The Nazis
Louis And Michael Jackson - he never meets him
Gambling In Las Vegas
The Most Hated Family In America - really recomend this one, it's about the 'god hates fags' Westboro Baptist Church
Louis Under The Knife
Louis Behind Bars