(these are in no particular/relevant order)
1. Deceptive Practice: The Mysteries and Mentors of Ricky Jay, it is and has been on netflix for quite some time.
2. Mysteries of Magic, just do a youtube search for that one. It has magicians such as Martin Nash, Lance Burton and even has Teller from Penn and Teller talking. Yes he apparently does speak!
3.Our Magic by Dan and Dave Buck
4. An Honest Liar
5.
Penn & Teller’s Magic and Mystery Tour
Anyone who is into magic in my opinion needs to watch these. While they are not really documentaries, I would highly recommend picking up any (really all) of the videos here on T11 by Jason England. A. You learn some really solid card sleights, which are extremely beneficial moves that will come in handy in many circumstances. B. He gives history about the moves, such as who created them and when. C. He gives reading material.
Actually anything by Jason is great. There are some great stuff of his at dananddave and he has a really fantastic penguin live video as well. Quick side note, I am not paid by T11 or Jason. I just really dig his stuff/material.