I saw dogville confessions.I found it unsatisfying, I wanted to learn more about his way of filmaking, his struggles, his conception of ideas and, of course, torturing actors. The best documentary film about lars von trier is the humiliated, the only one that includes all of what I mentioned.
I disagree with paul bettany when he says that lars tried to do dogville before, but it turned into the idiots. I can understand why he would think that, karen is trier's previous female character that most resembles grace, but still, it's a fairly different theme.
He is excessivly excentric, and yes I do think he's crazy, nonetheless, a genious of film. You should take a look at the audio diary that he had during the making of the idiots, it's hard to see a filmaker more crazy than that, he says ridiculous, mad things.