Religulous, by Bill Maher.
A fantastic examination of all religions. Clearly the best way to document the true nature of religions is by an intelligent (cynical) comedian. They're definitely the most suitable profession to expose the ridiculousness of religion, and in particular their believers.
Not just funny, but actually a very intelligent analysis; though to be fair, there is a staggering amount of low hanging fruit to pick.
Favourite quote at the end of the documentary, with regard to the necessity of mankind to adopt a doubting, skeptical nature:
"Man's history is a litany of getting **** dead wrong"