At SXSW 2012, I was able to watch a screen of Indie Game: The Movie, a documentary featuring indie developers Phil Fish, Edmund McMillen, Tommy Refenes and Jonathan Blow. I really enjoyed the movie, as you can see in my review, and on June 12th, you can check out the movie yourself. There will be three ways to purchase the movie: iTunes, Steam, and from the movie site, IndieGameTheMovie.com. The movie is selling for $9.99, but it looks like it's already on sale for $8.99 on Steam. You can also pre-order from the three sources, just in case you forget.
Fans of indie games and documentaries should definitely give this movie a watch.