I don't know if I'd call all of these my 'favorite' but here are 3 that I watched recently and liked quite a bit:
Craigslist Joe: A guy spends a month living on his own with nothing but what and who he can find on craigslist.
A Complete History of My Sexual Failures: A guy attempts to make a documentary about why every woman he's dated has left him. Most of them refuse to talk to him but he still manages to make a pretty engaging doc.
The Woodmans: About the family of artists, The Woodmans, who are most well known for their dead daughter. This one will probably only appeal to people who love Francesca Woodman's photography.
