I third the advice for Joseph Campbell's documentary. It's a whole series and it is great.
I have a good documentary on witchcraft, witch burnings, and ergot poisoning... it was on PBS at one point. I have no idea if it is available elsewhere. I taped it.
I'd be really curious about this topic too. I've seen some good ethnographic films, but most of them are extremely expensive to buy- like $200. I have no idea why, but probably limited sales (though with a price like that, no wonder sales are limited).
There's a cheap good one called Ongka's Big Moka (no, really. LOL A moka is a sort of politically-important party) that isn't focused on religion per se but would show bits and pieces of their belief system and how they handle funerals and such.
The Devil's Playground is pretty good on the Amish rumspringer (the time of adolescence before someone commits to the church and "runs around").
My local Hollywood Video in California had a lot of documentary type films on beliefs on things like faeries. But I do not have a film list.