Over at http://www.ubu.com/film/ra.html, you can view the following Sun Ra documentaries:
Sun Ra (1914-1993)
Cry of Jazz (1959) Dir. Edward Bland
Space Is the Place
Sun Ra: A Joyful Noise (1980)
Sun Ra -
Brother from Another Planet directed by Don Letts, 2005
I can highly recommend the "Brother from Another Planet" documentary that got broadcast on BBC4 in 2005. With contributions from Archie Shepp and Thurston Moore amongst others.