Great idea, V! A list of horror documentaries could be really valuable to a visitor stumbling upon our list. Maybe 5 is not enough, and at you'd consider reducing the number of Special Recs in favor of a handful more documentaries that you deem worthy.
I haven't seen many of the films mentioned, but now I'm excited to go watch them. Nightmares in Red, White and Blue is on Netflix streaming -- score! I've seen half of 100 Years of Horror, which was great. (That reminds me, I need to finish it.) I loved learning about the visionary Lon Chaney, who did his own makeup, the diverging careers and personalities of Bela vs. Boris, the Hammer explosion... Really interesting and informative.
As a counterpoint to all the straight horror documentaries, one film that was influential in my horror vocabulary was
American Grindhouse (2010). While 100 Years of Horror covers the true legends, this film covers the branch of cinema that will never win an Academy Award, but had a stark influence on the horror genre (among others), including Freaks (1932), Maniac (1934), Blood Feast, and the like. It also puts legit classics like Dracula (1931), Frankenstein (1931) and Psycho in context as films that were subversive and disturbing for their time. I might have first learned about the cannibal subgenre from this film, but I could be misremembering. It definitely includes stuff like Ilsa, She Wolf of the SS and other shlocky stuff. However, more important than the actual films mentioned, it focuses on our collective lust to see shocking stuff, as well as the once-bustling grindhouse theater culture in which these films could be viewed. Anyway, just throwing it out there for variety. As others have mentioned regarding other documentaries, this one is not purely horror, but covers the underground that I believe is important to the genre.
Also, I'm good with the six HMs.