I remember enjoying a documentary about Aleister Crowley entitled "The Wickedest Man in the World" but I can't find the link right now.
Here's one about fairies: www.youtube.com/watch?v=KzeGkx_5Uuk I think this is the documentary where they interview a harpist, a painter, and I think a Hungarian shaman?
Speaking of shamanism, this isn't really a documentary, but: www.youtube.com/watch?v=nQYvFvmkvvU (Note thought the shamanism is an outdated anthropological term).
They've been informative, but not particularly practical. I think most documentaries are going to be funded by people who take a historical or "human interest" approach to magic. Not so much the how-tos like documentaries about human physiology or space travel.
Actually, why not watch science documentaries instead?
Here's one on parallel universes: www.youtube.com/watch?v=l6XMkapGgBo
Here's one about the relationship between energy and matter, which is the reason I don't believe anymore that magic is energy:
If you can find any videos of interviews with Joseph Campbell the mythologist, then we'll be on the same page, but of course it depends on your interests.