I'm incredibly fond of the BBC's "Storyville" documentaries. They're only, to my knowledge, broadcast on BBC Four. The documentary on Heinrich Himmler being the most interesting; not just due to the content but the way it was presented as readings from his private letters. It quite capably explains the state of mind of the german population at the time and just how a body with such strong discriminatory views came into power. The more recent one documenting the rise and fall of the mexican anti-cartel vigilante millitia was equally worth a watch.
I think some of these are available on iPlayer though I'm not quite sure how the older broadcasts could be accessed.