"Running the Sahara" chronicles the journey of three men who are trying to run across the Sahara desert. This had never been done before. There are a lot of interesting complexities to the effort, including physical, mental, political, and more. They have to run the equivalent of two marathons per day, in the desert, for more than 100 days straight. It's impressive stuff.
"Pelada" is also a documentary. It's a story about a guy and a girl from North Carolina, recent colleage graduates, who love football (soccer). They go around the world for a year playing in interesting pickup games, video-taping the whole thing. This is a fascinating movie, and it's more insightful / touching than I expected. There are fantastic personalities involved, places, and backgrounds.
Both of these are highly recommended. They are about a lot more than running or football, so you will enjoy them even if you don't run nor play.