To find documentaries that Princeton University Library has on CD or DVD, search the Main Catalog by the Title of the film e.g. "The Plow that broke the Plains" or the name of the director as Author e.g. "Riefenstahl, Leni".
Princeton Public Library is also a good source of commercially-released documentaries.
There are several large online collections to which Princeton subscribes:
American History in Video
Digital collection of newsreels from 1942-1964, plus television documentaries from the History Channel and elsewhere. Includes transcripts.
World History in Video
Digital collection of BBC, PBS and independent documentaries covering world history. Includes transcripts.
Ethnographic Video Online
Covers every region of the world and features the work of many of the most influential documentary filmmakers of the 20th century.
And there are some useful free or fee-based web sites:
youtube has many short clips from documentaries, and sometimes longer versions.
filmarchives online has European documentaries in several languages, plus a catalog of video held at a number of European film archives.
There are some compilations of early documentary films:
Encyclopedia of the documentary film. Ian Aitken, editor. New York: Routledge, 2006.
Trustee Reading Room Reference (DR) Firestone PN1995.9.D6 E53 2006
Documentary: a history of the non-fiction film. Erik Barnouw. 2nd rev. ed. New York : Oxford University Press, 1993.
Firestone Library (F) PN1995.9.D6 B37 1993
Documentary film: a very short introduction. Patricia Aufderheide. Oxford ; New York: Oxford University Press, c2007.
Firestone Library (F) PN1995.9.D6 A94 2007
A new history of documentary film. Jack C. Ellis and Betsy A. McLane. New York: Continuum, 2005.
Firestone Library (F) PN1995.9.D6 E46 2005
100 documentary films. Barry Keith Grant & Jim Hillier. Basingstoke, Hampshire [England] ; New York : Palgrave Macmillan : London : Published on behalf of British Film Institute, c2009.
Firestone Library (F) PN1995.9.D6 G73 2009