Samsara and its kin are engrossing, if not quite stressful. They show you how insane humanity is in rather raw form.
The BBC's Blue Planet, Planet Earth, and Life series are masterclasses in ecological storytelling.
Exit Through the Gift Shop is about as subversively hilarious as you can get.
I'll need to look it up later, but there's a really good documentary about the people who still hand-make Steinway pianos in New York.
I think there's a series called The Planets (?) that covered a lot of the various probes that were sent out.
There's some documentary about the various moon programs, covering Mercury, Gemini, Apollo, etc. It was a series. I can't remember the name or immediately find the one I am thinking of.
There's been a lot of fascinating animal documentaries I have lost track of.