Thanks for the hint once again, ReverendBeastly. Here is what I found. Are some of these interesting for you, NeilB? Sometimes the documentary is on Region 1 version only, sometimes on Region 2 France only.

Hills Have Eyes Director: Wes Craven
Time Bandits Director: Terry Gilliam
The Brood Director: David Cronenberg
Scanners Director: David Cronenberg
Vampires Director: John Carpenter
Short Cuts Director: Robert Altman
Wild At Heart Director: David Lynch
Gangs Of New York Director: Martin Scorsese
Charade Director: Stanley Donen (not necessarily from the AFI series)