What is the Best Documentary of all time? The 25 Best Documentaries of All Time. 1 1. Blackfish (2013) PG-13 | 83 min | Documentary. 2 2. Exit Through the Gift Shop (2010) 3 3. Dear Zachary: A Letter to a Son About His Father (2008) 4 4. Grizzly Man (2005) 5 5….