Interesting mathematical documentaries
$N$ Is a Number: A Portrait of Paul Erdős. (Official site; Wikipedia link)
I really like this short documentary on Fermats Last Theorem and Andrew Wiles struggle and setbacks proving it.
"The Color of Math" (Wayback Machine) is a rather poetic documentary by Katia Eremenko that will have its premiere at the Moscow Film Festival (Wayback Machine) this upcoming Saturday, June 23, 2012. It features Cedric Villani, Anatoly Fomenko, Maxim Kontsevic, Jean-Michel Bismut, Aaditya V. Rangan (and myself).
(source: moscowfilmfestival.ru)