Bit different from other existing threads, I did a quick search and I don't think there's another documentary thread like it. There's usually a good story behind every great band, and some fantastic documentaries about them in circulation.
I've got two personal favorites:
...a surreptitious disembowelment of the troubled relationship between two West Coast psychedelic bands: the Dandy Warhols and the Brian Jonestown Massacre. It pits the chaotic, self-destructive behavior of troubled genius Anton Newcombe against the narrator Courtney Taylor-Taylor's desperately narcissistic struggles to achieve glory. And though Newcombe is vilified throughout for his drug habits and erratic behavior, DiG! only serves to remind who is going to be remembered more fondly by history -- genius, no matter how troubled or self-destructive, always prevails over calculated mediocrity.
and
...an extremely heartfelt tale chronicling the life and turmoils of living legend Daniel Johnston. The Devil and Daniel Johnston is told largely through a compilation of interviews by his parents, friends and surprisingly, Daniel himself -- scrupulously recording much of his life in audio and video tapes. It tells the heartbreaking story of a boy who suffered incredible pain at the hands of his own blooming mental illness and his noble attempts to reconcile his inescapable shortcomings. In many ways, it's a film about a boy who never grew old: he never had love reciprocated, but loved nonetheless; he never enjoyed the fruits of happiness, yet was haunted by delusions thereof.
Both of which were incredible documentaries, utterly impeccable pieces of filmmaking, though for entirely different reasons.
What is your favorite documentary about music?