I'd agree with Adam & Alex. The ESPN 30 for 30 documentaries are really good. I've watched a good few of them now. Those I've seen are
- Kings Ransom (Wayne Gretzky Trade)
- Muhammad & Larry (Ali v Holmes)
- Without Bias (Tragic Len Bias Story)- The U (University of Miami Football Program) - Straight Outta LA (Links between the Raiders & Rap culture) - June 17, 1994 (Coverage from that day where OJ Simpson was on the run, Arnold Palmer's last ever US Open, NY Rangers Stanley Cup Victory Parade & Knicks Rockets NBA Final) - The Announcement (Magic Johnson's revalation that he had HIV)
- The Two Escobars (Story of Pablo & Andrés Escobar in Columbia)
- The House of Steinbrenner (The Boss's impact on the Yankees)
- Fernando Nation (Fernando Valenzuela's impact on the Dodgers)
- Marion Jones: Pause (Her rise & fall from the top of world sprinting)
- Four Days in October (The Red Sox 2004 comeback from 3-0 down to beat the Yankees in the ALCS)
The one's I've highlighted I think are the best. Overall I would have the June 17, 1994 one as the best in my opinion.
Outside of these Id also recommend a recent documentary on the 1988 Mens 100m Final documentary. Not sure what it's called but it's very good.
There was a very good documentary on about Victoria Pendleton also before London 2012 on BBC. It's also worth a watch.
Hope that was some help & happy viewing