I don't know if they're the same sort you want to talk about, but off the top of my head the most moving documentary I've ever seen was 'Dear Zachary'.
I went into watching this thinking it would be a touching tribute to the father and a gift for his son, but I wasn't aware that the son also died. So that hit me like a tonne of bricks (because it's revealed rather suddenly). It's a series of testimonials and anecdotes about, and from, their family and friends, and whilst it's incredibly harrowing and upsetting, it's also so uplifting - particularly the support given to Zach's grandparents through their legal battles.
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Not many come to mind that I've seen... Super-Size Me was interesting, I guess, but the guy behind it was a little annoying (He's done the One Direction movie, now, so go figure).
I really want to see Catfish.