These are two documentaries, Zeitgeist The Movie, and the more recent Zeitgeist the Addendum.

These are probably my two favorite documentaries of all time and I would definitely recommend watching both. Although it doesn't really admit to being anarchist, the two documentaries take a stance against the government, against capitalism and monetarism (money).

The first one mostly focuses on religion, 9/11, federal bankers and capitalism.
The second one is almost entirely about how money can only hold back progress, because everything revolves around profit rather than progress. (an example of this is the suppression of alternative fuels)

Both documentaries have strengthened my positions as an anarchist.

You can watch both of them right now on Google video (links found on their site).

http://www.zeitgeistmovie.com/

If you search their site more carefully you can find some DVD rip quality torrents if you want to download and watch it in better quality.