I forgot another good one. The documentary on Hedwig and the Angry Inch is great, too.

I'm only going to list long-form, feature-length (or over 1 hour in length, anyway) documentaries, rather than strings of featurettes which may be harder to store).

I'll list the name of the doc if I can remember it.

From Dusk Till Dawn: Full Tilt Boogie
Magnolia: Magnolia Diaries
Taxi Driver: CE
12 Monkeys: The Hampster Factor
Star Wars: Empire of Dreams
Indiana Jones
The massive Lord of the Rings EEs (although I think these may be a series of featurettes with a Play All feature)
Clerks X: The Snowball Effect
Pulp Fiction: Charlie Rose Interview w/ Tarantino (not a doc, but a great supplement nonetheless)
E.T. Making-of from the Ultimate Gift Set
American Graffiti
Citizen Kane: The Battle Over Citizen Kane
JFK: Beyond Conspiracy
Back to the Future
Tron
Singin' In the Rain
West Side Story
The Exorcist 25th Anniversary Editon (not on the Version You've Never Seen version)