I like my documentaries to be bleak and depressing. Some of my favourites have already been mentioned but I'll add:
Rain in my Heart. Following the treatment of four alcoholics in a special medical treatment sector of the hospital. Two of them were dead before the film was over, one more has died since.
Hardcore. Follows a young English woman who travels to America to become a porn star. It goes badly.
The Search for Animal Farm. A good long look at the life and state of mind of a person who became known for bestiality porn.
Swansea Love Story. Teenage heroin addicts and the shithole they live in, plus the deadbeats that raised them.
The Hunt for Britain's Pedophiles. Probably the bleakest one on the list, it really shows what a mountain of shit the officers have to wade through to actually get any justice for the victims. It's pretty graphic in places.
Mommy Dead and Dearest. The Dee Dee Blanchard murder case in detail. Munchausen's by Proxy, autism, BDSM and more.
66 Months. Severely mentally ill man slips out of the care of social services and is taken advantage of by an old alcoholic unstable gay man.
Deep Water. Regular non-sailor man with dodgy finances decides to take part in a round-the-world sailing competition. It goes badly.
The Bridge. Discussing suicides at the Golden Gate Bridge. Contains footage of actual suicides. More sad than shocking.
I'm Your Number One Fan. All about stalkers. Features a portly middle-aged woman having an orgasm to the sound of a radio DJ's voice, same woman freaking out when someone calls him gay, a man who thinks the Queen of England is Satan, and snooker.
Bulgaria's Abandoned Children. What it would be like if a whole school of children turned into the Hartley Hooligans through pure neglect.
Children Underground. Street kids in Bucharest living in a subway station, huffing paint and self-harming to pass the time.
Sex in a Cold Climate. Interviews with women who spent time in Ireland's Magdalene laundries for unmarried pregnancies.