Scott Walker: 30th Century Man (Directed by Stephen Kijack)
The enigmatic life and work of singer-songwriter Scott Walker is explored by him and other people (David Bowie, Jarvis Cocker, Richard Hawley, et. al). Another gifted musician largely ignored at home, but lionized in the UK. If you haven't given him a listen, start with Scott 3 and follow his records into his contemporary offerings. There are not many that can sing like this man sings.
Thirty-Two Short Films About Glenn Gould (Directed by Francois Gerard)
While you're at it, treat yourself to another film about a musical genius doing idiosyncratic things. Thirty-Two Short Films About Glenn Gould is "a masterpiece" according to the venerable Toronto Globe and Mail. I found it to be quite good, I even watched it twice. Levity aside, Canadian classical pianists are rarely this fun to watch so trudge down to your local video store that doesn't exist anymore, rent this on VHS, and watch it on that tape player that you left in the alley for the trash-pickers six years ago.
If you can't get enough Bach, check out - "A Couple Thousand Short Films About Glenn Gould".