Videos:
Henri Cartier-Bresson
The Decisive Moment (1973)
http://www.youtube.com/watch?v=hyhMqDfmG9o
Diane Arbus
Masters of Photography (1972)
http://www.youtube.com/watch?v=Q_0sQI90kYI
More:
William Eggleston
Imagine | The Colourful Mr Eggleston (2009)
https://www.youtube.com/watch?v=3jZ_HkaTXh8
Dorthea Lange - PBS American Masters
William Klein - The Many Lives of (2012)
Cindy Sherman
ART21 / "Characters"
(2011)
https://www.youtube.com/watch?v=tiszC33puc0
"Nobody's Here But Me" (1994)
https://www.youtube.com/watch?v=UXKNuWtXZ_U