Highest grossing documentary of all time:

Fahrenheit 9/11
Released in 2004, Michael Moore's "Fahrenheit 9/11" grossed $119 million at the box office.
Source: The Boston Globe, 8/29/2005

 
   
  Second highest grossing documentary of all time:

March of the Penguins
As of Sept. 2005, the movie had grossed $63.5 million; however, it is still in release, and could go on to earn more.
Source: The Boston Globe, 8/29/2005

 
   
  3rd highest grossing documentary of all time:

Bowling for Columbine
Another Michael Moore film, this one released in 2002, grossed $21.2 million at the box office.
Source: The Boston Globe, 8/29/2005

 
   
  4th highest grossing documentary of all time:

Truth or Dare
This 1991 film featured Madonna, and grossed $15 million at the box office.
Source: The Boston Globe, 8/29/2005