Honestly, though, called it a documentary is a bit of a misnomer. The one hour and seventeen minute movie is basically just Moore talking about himself. Not in an ego-centric way, really; he's clearly being prompted with specific questions, but we never hear anyone besides Moore. So we heard a bit about his childhood (though, curiously, absolutely no mention of his parents -- he spends more time talking about his school's headmaster than he does about his family in even a general sense), his struggle trying to find a livelihood, an overview of his comics work and, finally, his philosophies on writing/magic. The visuals shown are generally either a relatively close-up shot of Moore speaking, or a combination of art from comics he's written and impressionistic shots vaguely related to whatever Moore was speaking about. There are also a few brief live-action recreations of John Constantine, Rorschach and V. (Note that this was prior to the Constantine, V for Vendetta or Watchmen movies.)
The timing is somewhat noteworthy. Though the film came out in 2003, it was (obviously) filmed prior to that. Which means that Moore distinctly does NOT speak to his dealings with Hollywood, as this occurs before any of his works really made it to the screen. He makes a few remarks about some conversations with Terry Gilliam about his writing Watchmen specifically to be unfilmable, but nothing about intellectual property agreements and royalties and whatnot. This is, in effect, the last Moore interview before he really soured on all the crap that mass media is/has become. He does speak to some annoyance with TV and movies and comics largely just limiting themselves to simple entertainment, but he hasn't quite picked that first-hand disdain he seems to have now.
Moore also speaks very little to the specifics of individual stories he's written. He makes some very broad statements about his most notable works, what he was trying to accomplish generally and that sort of thing, but nothing about individual scenes or any of the artists he worked with. (Although Melinda Gibbie does get a passing mention.)
Most interesting, to me at least, was towards the end where Moore begins talking more about philosophy and magic. He comes across as someone who's put a great deal of thought into the subjects and arrived at some interesting conclusions, if by way of some spurious quirks of language. Still, his argument that ancient storytellers were seen as magicians in a sense isn't wholly without merit, and listening to Moore explain himself fully (as opposed to the sound bytes and half-snippets of quotes I've heard previously) it's not difficult to see where he's coming from. He's not some whacked-out madman who listens to the voices in his head, but rather a smart individual who's maybe just spent a few too many hours inhaling mind-altering drugs. Not that he's a drug-addled hippie, just that his speech reminds me of the types of conversations I had in college with people who were high on something or other. (To clarify, I wasn't high myself! That's why I remember the conversations!)
I'm not an avid follower of Moore, but I certainly appreciate what work of his that I've read. And though this film didn't provide any real enlightenment on those specific stories, it does provide quite a lot of insight towards Moore himself.