"The World at War" is a great series of World War II documentary films. It has heaps of actual WW2 footage, interviews with many participants in the war (including such bigwigs as Karl Donitz), and a relatively balanced viewpoint that will be refreshing to those used to the myopic America-centrism rampant in otherwise-excellent media like Band of Brothers.
In a totally different vein, "Blue Planet" is a documentary about aquatic life. Divided into episodes like "Frozen Seas" and "The Deep", I guarantee you'll be blown away by the photography in this documentary--it's miles beyond, say, the average nature show on the Discovery Channel. The narration is intelligent, and again far beyond what you might see on a standard TV nature documentary. I'm now seeking out more stuff by David Attenborough, whose other nature docs are apparently as good or better--but this is the only one I've seen so far, and I can unreservedly recommend it. You'll love nature more after seeing this--I'm absolutely confident of that.