I can't believe this one hasn't been mentioned yet! Or perhaps it has and I missed it.
"The Children Of Theatre Street" is definitely a favorite of mine. I often wonder what ever happened to Lena, the young dancer the film centered around.
Balanchine Celebration--I have the whole thing on tape and my favorite parts are Darcey Bussell doing Agon pa, Darci's Theme and Variations...even though the way she moves her foot in fourth before EVERY piroutte is a total peeve of mine, and the Who Cares? finale. Gotta love when they all do shots at the end, too.
Also, someone mentioned the special "Ballerina" with Makarova as narrator. I loved this, too.
Lastly: Joffrey Ballet in Billboards. Just about the coolest, sexiest thing (at times) next to Agon pas de deux.