Here are a few cool music docs that I've seen recently. They're all about crazy people:
The Devil and Daniel Johnston - A great film about one of the greatest singer/songwriters in the past few decades and his struggle with mental illness. Highly, highly recommended.
DeRailroaded - Similar to the Daniel Johnston movie, this film looks at the career of "Wild Man" Larry Fischer and how his schizophrenia has affected his life, his music, and his friends and family. Daniel Johnston in crazy, Larry Fischer is downright insane.
Jandek on Corwood - I would say go to Youtube and listen to a few Jandek songs before watching the movie - it helps give some perspective on the man and his music. This film has some pretty heavy mystery elements because so little is known about Jandek outside of the 60+ albums he's released over the past thirty years. His music may be nigh-impossible to listen to by popular standards, but there's something intriguing about this guy who is so committed to his art despite how unappealing it is.
You're Gonna Miss Me - This movie is about the legendary Roky Erickson (of Thirteenth Floor Elevators fame). Nothing much else needs to be said. If you have any interest at all in 60's psychedelia, this movie is a must-see.