Egypt Burning is a three part series which starts with the protests in January and ends with the fall of Mubarak.
Bahrain: Shouting in the Dark shows the sad truth that not all movements are destined to succeed.
The Arab Awakening has episodes examining not only concerning Egypt but also Tunisia and Libya as well as what is next.
Sadly I was unable to find any documentaries on the protests in Syria, Saudi Arabia, or Yemen. It is interesting to see how the various governments and militaries have responded the vast array of motivations behind each countries' protest movement.