Not a documentary but a 3-part lecture series by Professor Neil Price of Uppsala University, given at Cornell University in 2012, entitled The Viking Mind:

http://www.cornell.edu/video/playlist/the-viking-mind

Not answering your question per se -- I unfortunately know of no good documentaries about the Vikings -- but Jackson Crawford, a PhD in Scandinavian Studies who recently published a translation of the Poetic Edda, was on Reddit a month ago doing an AMA. You can browse his thread to see if there's anything that catches your eye. I would be astonished if someone hasn't asked him about good places to look for info on Norse mythology. Just browsing a little bit further down in his thread, I notice that he recommends the following secondary lit on Norse myth: Turville-Petre's "Myth and Religion of the North," and anything written by Margaret Clunies-Ross, Tom Dubois, or Rudy Simek.