I second Alex's nomination - this is one of my favorite documentaries as well. The book by the same name is very good as well and covers more of the math history. I actually watched it just the other day in a home double feature with a A Beautiful Mind, mainly showing my kids the scenes shot at Princeton** but it turned out to be a great essay on math and the human mind.
** I suppose I could have thrown in Transformers 2 as a Princeton triple feature but it seemed somehow out of place in terms of tone. Also, seeing all the ASU girls walking around the Princeton campus was almost weirder than the hallucinations in A Beautiful Mind.