If you have seen "The Aristocrats" (and if you haven't you really should BTW) or at least know the joke at the center of it, this is not to be missed: A Joke.
And I really do recommend The Aristocrats. You need a fairly high offensive threshold but if you can handle off color (and I mean way WAY off color) jokes and have any interest at all in how comedians think and how humor is made it is a fascinating film.