Hard to say. There are so many great ones.
The Empires Series - "Within the long history of civilization are great eras of struggle, triumph, and loss. These periods are reflective of the best and worst of humanity: explosive creativity, ultimate depravity, the use and abuse of power, and war."
http://www.pbs.org/empires/
New York (7 episodes) "This exhaustively thorough documentary chronicles the evolution of the city from its time as a Dutch settlement in the early 17th century to its current status as megalopolis extraordinaire. Famous New Yorkers including Martin Scorsese, Senator Daniel Patrick Moynihan, Fran Lebowitz, Mayor Rudolph Giuliani, and former mayor Ed Koch lend their colorful local perspective. In addition, there's commentary by numerous historians and writers, most notably Pulitzer Prize-winning Mike Wallace (not of 60 Minutes fame, but rather author of Gotham) and the late Brendan Gill, who notes the distinctly capitalist foundation of the city. As he succinctly states, "New York was based upon greed."
[ame="http://www.amazon.com/New-York-Episode-PBS-Boxed/dp/B00005NC51"]New York[/ame]