I like the "Classic Albums" series, because they go in-depth into studio techniques, etc. I have the Nirvana- Nevermind one on DVD and it has great sections in Butch Vig's studio where he talks about his methods of recording, producing and mixing the album. It's awesome.
I'm waiting for a decent documentary on Kurt's life though, there's supposed to be a really good one coming out later this year called "Been A Son".