I've got to go for "Hearts Of Darkness" as well. Not only was it shot during the film, making it "fly-on-the-wall", it shows the frustration and honesty in the shoot as well as the candid moments, and pretty much covers every single moment of the shoot.

My other favorite documentaries include "Fear Of The Unknown" documentary on Alien from the Quadrilogy disc, the 1986 Fly documentary (a large amount of unseen footage on that one) and Saving Private Ryan's "Into The Breach".