I swear I did this before but I can't find it, so let's do it again! Please respond with your own and I will get them added to the list.
Video Game Documentaries
Chasing Ghosts: Beyond the Arcade (2007)
Frag (2008) (Pro-gaming)
Game Over: Kasparov and the Machine (2003)
Gamer Revolution
Get Lamp
High Score (Link)
Once Upon Atari (Link)
Phosphor Dot Fossils: The DVD (Link)
Playing Columbine (2008)
Rise of the Video Game (5 Episodes, Discovery Channel)
Second Skin (World of Warcraft) (Link)
Spencer Halpin's Moral Kombat
Stella at 20
Tetris: From Russia with Love (2004)
The King of Kong: A Fistful of Quarters (2007)
The Secret History of Volition (ONLINE)
Thumb Candy (2000)
Tilt! The Battle to Save Pinball (Link)
Honorable Mentions
BBS: The Documentary (Link)
CGE DVDs (Link)
The Rock-afire Explosion
Triumph of the Nerds
Triumph of the News 2: Nerds 2.0.1 (Link)