This is one of my favorite documentaries too!
I really enjoy Adam Curtis's style. It's rare to see someone tackle a big, theoretical concept in documentary form -- like in this case, how psychological ways of thinking about "the self" have influenced business, politics, and culture over the course of a century.
The most well-known historical documentaries tend to be about war, politics, or other topics that are fairly straightforward to narrativize. Curtis's films are much more about the deep structural forces underlying society. This is harder to turn into a "story." Yet he does this and pulls it off so well.
I only wish his films came with footnotes. I would love to go back to the sources and reverse-engineer how he linked all of these ideas and people together.