Beyond all of the extras that are given on DVD and Blu-ray releases there are many excellent films about films and the filmmaking process. Many of the films I will list may be hard to find so I will start with some great films available on Netflix and DVD/Blu-ray.
First up is Mark Cousin's whirlwind examination of the history of film in his excellent fifteen part series 'The Story of Film'. Not only is this series rich with detail Cousins makes all sorts of wonderful connections between world cinema and Western cinema. It's a great series for those of us who grew up with a Hollywood-centric view of the history of the movies.
A great starting place for any lover of movies and movie history.