Ken Burns' The War is a truly incredible piece of filmmaking.
Also Nova's Secrets of the Dead: D-Day is the best documentary on D-Day that I have seen. Such a wide variety of perspectives are interviewed, from British Royal Marine commandos who scouted the beaches months before the landings, to British glider pilots from Pegasus Bridge, US 82nd Airborne paratroopers, LCVP drivers, Sherman crewmen from Sword Beach, a US Army engineer who happened to be the first man off the beach on Omaha, and a German soldier who defended WN 62 along with Heinz Severloh.