My favorite will always be From Star Wars to Jedi because it was what made me want to pursue a career in the film industry. There’s really quite a few great Star Wars special features (on the PT DVDs especially - that TPM doc is great). Empire of Dreams is classic of course, revisionist history aside.
The LOTR/Hobbit extended edition features are without a doubt the best, though. Completely unparalleled.
The Lord of the Rings bonus features chronicle every step of making movies in the early 2000’s and the Hobbit ones show how they’re made in the 2010’s. Both sets are incredible cheap film schools.
Absolutely. I recently had a chance to speak briefly with Mark Ordesky (executive producer on the LOTR trilogy) and I told him how much the films and the bonus docs meant to me growing up. He said that was exactly why Peter Jackson wanted to make them - to inspire kids to want to make movies and to give them everything they needed to know about how a film like this is done.
Pretty much any feature length doc out there about movie productions is good, Hearts of Darkness being perhaps the most obvious example.
Also don’t forget commentaries. I always do but some are real gems. Ebert’s Citizen Kane is probably the best I’ve heard (and a great listen if you don’t get what makes the film so perfect).