People, of course, tend toward learning about things they are interested in. This seems almost too basic to be worth mentioning. The same is true of documentaries. Though we will sometimes watch them based on a recommendation or because it looks well done or is highly acclaimed, usually we will grab them because the subject matter is fascinating to us.
I am quite intrigued by some of the ideas that modern Christianity has been pushing for the past few decades. There are large swaths of the christian population that are taking their theology to the extreme. Be it a fascination with the end of the world or a complete segregation from the outside world, their ideas have real consequences for the people caught up in them.
When I am looking for documentaries, I tend to enjoy ones that are relatively objective. Everybody has an angle, but some try too hard to push that angle. Most of the movies I mention here try to let the people speak for themselves, they aren't trying to force reality to fit into their mold. Even when you can tell the filmmaker disagrees with the people, they aren't mocking and they let them have their say. In the special features for "Fall From Grace" we see the Phelps family watching the movie and loving it, even though it was nowhere near a flattering portrait of them. It shows the documentarian really cared about presenting his subject fairly. That isn't always the case, but it's something to look for when watching a documentary.
As mentioned above, "Fall From Grace" is really good. It's about Fred Phelps and Westboro Baptist Church, of "God Hates Fags" fame. The filmmaker spent a lot of time with this group, something that I would find really hard to do without losing all faith in humanity. We get a good look at how they operate, the hardest part was watching the kids spouting off the same stuff as the parents. I thought it was a fair look at a very charged subject. Another good movie about religious extremists like this is "Soldiers in the Army of God" about the anti-abortion terrorist group.
Jesus Camp is one of the best movies of its kind. It provides a very evenhanded look at the indoctrination of children into the ideology of the religious right. It talks to parents, pastors, and then goes to summer camp to show what the kids are doing there. I thought it was well balanced, the footage was assembled beautifully, and it was all around a great film, though somewhat disturbing. Again, I felt it really portrayed the subject fairly, not trying to be sensationalistic. Some other good ones on some of the aspects of conservative evangelical subculture are "Waiting for Armageddon" about the religious right's focus on Israel as the site for the end of the world, and "Hell House" about a very interesting form of evangelism based around the concept of a haunted house.
Devil's Playground is a fascinating look at a particular aspect of Amish culture. When their children are old enough that they are to choose their own way in life, the Amish basically just let them out into the world with almost no supervision. It creates an interesting dynamic because the kids are so sheltered, so they just go crazy. This movie follows some of the kids as they deal drugs, party, and try to decide if they want to live the rest of their lives as Amish or not.
That's a pretty good start if you are interested in the crazier side of Christianity. Check some of them out sometime.