If you can watch only one, watch Destination America: The People and Cultures that Created a Nation

http://www.amazon.com/Destination-America-People-Cultures-Created/dp/B000E0LLQS/ref=pd_sim_sbs_b_1

Other documentaries worth watching:

http://www.amazon.com/Other-Side-Immigration-Roy-Germano/dp/B003X3BYJM/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374942164&sr=1-1&keywords=immigration+documentaries

http://www.amazon.com/Which-Way-Home-Andrew-Holbrooke/dp/B0042EJDGM/ref=pd_bxgy_mov_img_y

http://www.amazon.com/National-Geographic-Wetback-Undocumented-Documentary/dp/B000KF0DKM/ref=sr_1_7?s=movies-tv&ie=UTF8&qid=1374942164&sr=1-7&keywords=immigration+documentaries

http://www.amazon.com/American-Harvest-Documentary-Angelo-Mancuso/dp/B001HOWHTK/ref=sr_1_33?s=movies-tv&ie=UTF8&qid=1374942220&sr=1-33&keywords=immigration+documentaries

http://www.amazon.com/Well-Founded-Fear-Michael-Camerini/dp/B000KJU1I2/ref=sr_1_37?s=movies-tv&ie=UTF8&qid=1374942251&sr=1-37&keywords=immigration+documentaries

http://www.amazon.com/Island-Hope-Tears-immigration-experience/dp/1933233036/ref=sr_1_38?s=movies-tv&ie=UTF8&qid=1374942251&sr=1-38&keywords=immigration+documentaries

http://www.amazon.com/SB1070-The-Faces-Documentary/dp/B006OFDQ1K/ref=sr_1_42?s=movies-tv&ie=UTF8&qid=1374942251&sr=1-42&keywords=immigration+documentaries

http://www.amazon.com/Rights-Line-Vigilantes-Border-Home/dp/B002FL3IC4/ref=sr_1_57?s=movies-tv&ie=UTF8&qid=1374942287&sr=1-57&keywords=immigration+documentaries

http://www.amazon.com/Civil-Wrongs-Rights-Korematsu-Story/dp/B000KJU1IC/ref=sr_1_2?s=movies-tv&ie=UTF8&qid=1374942320&sr=1-2&keywords=immigrant+rights

http://www.amazon.com/Special-Becoming-American-Chinese-Experience/dp/B0002UCI4Y/ref=sr_1_4?s=movies-tv&ie=UTF8&qid=1374942875&sr=1-4&keywords=becoming+american

http://www.amazon.com/Unfinished-Business-Japanese-American-Internment-Cases/dp/B000BB154S/ref=sr_1_6?s=movies-tv&ie=UTF8&qid=1374943203&sr=1-6&keywords=farewell+to+manzanar

http://www.resisters.com/

http://www.amazon.com/Waiting-Center-Asian-American-Media/dp/B00068YUHU/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374955867&sr=1-1&keywords=days+of+waiting

Hard to find:

http://immigrantnationfilm.com/

http://www.amazon.com/Natives-Immigrant-Bashing-Educational-Performance/dp/1463106998/ref=sr_1_7?s=movies-tv&ie=UTF8&qid=1374942320&sr=1-7&keywords=immigrant+rights

Carved in Silence, about Angel Island: http://www.lowedownproductions.com/purchase/

http://www.cetel.org/island.html

Fictionalized accounts:

http://www.amazon.com/Visitor-Richard-Jenkins/dp/B0015OKWKI/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374942359&sr=1-1&keywords=the+visitor

http://www.amazon.com/A-Better-Life-Demi%C3%A1n-Bichir/dp/B005HFI7IU/ref=pd_bxgy_mov_img_z

http://www.amazon.com/Day-Without-Mexican-Caroline-Aaron/dp/B0002VEZ3U/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374942452&sr=1-1&keywords=a+day+without+a+mexican

http://www.amazon.com/Perils-New-Land-Immigrant-Experience/dp/B001A8HTXC/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374943158&sr=1-1&keywords=silent+films+about+immigration

http://www.amazon.com/American-Pastime-Gary-Cole/dp/B000NTPG7A/ref=sr_1_1?s=movies-tv&ie=UTF8&qid=1374943203&sr=1-1&keywords=farewell+to+manzanar

http://www.amazon.com/Beyond-Barbed-Wire-For-Broke/dp/B00005MEVY/ref=pd_cp_mov_3

Farewell to Manzanar