Radio Bikini. It's an extremely well done film on US nuclear testing in the Marshall Islands, and I often use it in class. It's available for free online as well.
hi! fyi, you'll find several previous recommendations in the FAQ
I am a big fan of CNN's Cold War series. It was made at just the right time, both in terms of mindset (1998, so the Cold War had been over for a little bit, but the War on Terror had not yet begun) and access (they were able to interview a whole lot of players from a wide range of it — Stasi agents, KGB heads, CIA, Gorbachev, you name it). My favorite single episode is "Soldiers of God," which is a pre-9/11 view of US involvement in the Soviet-Afghan war, and had ominous forebodings of future problems after the bottom fell out over there.
For art history I think you can't go wrong with Simon Schama's The Power of Art. Really great multi-part documentary. If you don't know where to start, start with the episode on Turner's The Slave Ship.
I specialize in World War II and the Holocaust and there are plenty of fantastic documentaries out there about these subjects. Paragraph 175 is perhaps the most unique of them, as it tells the largely untold story of the very few gay survivors of the Holocaust. Interesting and important. The World at War gives a pretty good comprehensive review of WWII. Check out Fog of War or Dear America: Letters Home From Vietnam if you have any interest in the Vietnam War as well.