This Is England was good alright, try getting along to see The Lives of Others, should be able to find it in arthouse cinemas. It's about a member of the Stasi just before the fall of communism and his increasing disillusionment with the East German communist party. Other than that a few recentish ones I'd recommend on DVD would be, Pan's Labyrinth, Good Night and Good Luck, the Science of Sleep, and Half Nelson.
As for good docus I'd go for Zidane: A 21st Century Portrait, Searching For the Wrong Eyed Jesus (about music, religion and Southern America) and The Devil and Daniel Johnston, also check out Capturing the Friedmans if you haven't yet
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