You'll find many differences of opinion on "the best". For some the answer could well be, "all of them". I really enjoy seeing the documentaries develop over the decades.
Three early one's come to mind that are available on the Net. Dan Rather's 1958 interview with Major Kehoe 1958 - The Mike Wallace Interview Major Donald E. Keyhoe - Part 1, Part2, the 1966 CBS/Cronkite UFO: Friend, Foe or Fantasy, 1976's UFOs: It Has begun, here on Google video and 1979's, UFOs Are Real.
Best for me is mostly "the one I haven't watched yet".
Cheers and welcome nicknowsky.