American Experience on PBS is probably my favorite show right now. The pieces they did on The Quiz Show scandal, and on Fidel Castro's story were absolutely incredible. I've like almost everything else they've done. I would suggest anyone into documentaries put it on their season pass.
Also
History Viewpoint is a British series has some pretty good stuff. There's one I found moving called "The Germans We Kept" about German POWs that stayed and helped rebuild Britain after the war.
A lot of new history has come out in the last 5-10 years with the Soviet Union opening their files. Discovery Channel (I think) had a documentary called
Russian Roulette about
this incident that will curl your hair. Apparently 4 Russian subs were patrolling around the Caribbean during the Cuban missile crisis--in horrid living conditions, with tactical nukes, and very vague orders about when they were allowed to fire. There were a few confrontations where we were literally a bad gesture away from WW-III. The US had no idea until a few years ago that these subs were nuclear armed.
Once every few weeks or so I try to scan through every show on DirectTV (A-Z) looking for interesting stuff. Otherwise it's just too hard to know what's out there with all the channels. It takes a few hours to do.