The H-Amrel listserv currently has an ongoing discussion about useful films for teaching American religious history. The most popular suggestions seem to be Black Robe, The Apostle, anything by PBS's American Experience, and Malcolm X.
So following this discussion, I would encourage our blog readers to post their favorite films in the comments section. I currently like to use a documentary on Appalachian snake handlers called the Holy Ghost People, available here, and I am toying with Jesus Camp and Jonestown: The Life and Death of the People's Temple. (Also, Internet Archive has great resources, including documentaries and video clips, for class.)