004: Hearts of Darkness.
I probably shouldn't mention Hearts of Darkness, a documentary about the making of Francis Ford Coppola's Apocalypse Now, because it's so hard to find. It's never been released on DVD, and it's out-of-print on other home video formats. I only got to see it because Stacey got me a used Laserdisc copy for Christmas last year.
But I have to mention Hearts of Darkness because it is awesome. I think it's as compelling and entertaining as Apocalypse Now. I'm not going to try to write an in-depth review (Ebert's more eloquent than me anyway), but I will say it's required viewing for anyone interested in the filmmaking process. I would never endorse the purchase of a bootleg movie, but... well, by hook or by crook, you need to get your eyes on Hearts.
One more thing for the filmmakers out there. After watching Hearts of Darkness, no matter how rough of a day of filming you might be having, you'll at least be able to say, "Well... it could be worse."