“Conspiracy” with Kenneth Branagh (about the Wannsee Conference) is another good one. The setting, the pace, all add to the chill factor of how these decisions are made at high levels.
This series on Stalin has a lot of extant footage and is quite revealing. Self-apotheosis, propaganda, show trials, mass murder, etc.
http://www.youtube.com/watch?v=ChNG3L5p3Vc+
The parts of “War and Remembrance” dealing with the Holocaust were very chilling as well, especially the parts featuring Auschwitz Kommandant Rudolf Hoess.