Here are a few of my favorites:
· National Geographic's -- Ocean Drifter (amazing footage and story plot)
· The Octopus Show (great footage, Mike deGruy is informative and entertaining)
· In The Wild - Dolphins w/ Robin Williams (the comedian/actor) -- Great footage and quite the comedy too.
· Bob Talbots - Dolphins & Orcas -- Incredibly beautiful visuals with some great behind the scenes too (DVD only).
· Howard & Michelle Hall's (and company) -- Secrets of the Ocean Realm series. I especially like 'Creatures of the Darkness' for their Humbolt Squid footage (wow!). Their 'Filming Secrets' is a hoot and inspiring. Get the companion book for this series. It's a great read and the Hall's and company are great (real) story tellers.
· All of Macgillivray Freeman's IMAX films -- Dolphins / The Living Sea / Coral Reef Adventures (get the companion book for this last one -- very interesting read)
· The Blue Planet series (stunning imagery -- top class stuff)
· Stan Waterman's films -- he's very entertaining, eloquent and a great story teller. I hope I get the opportunity to dive with him one day.
· Dolphins of the Bahamas - a Lazaro Ruda(aka laz217) film. The imagery is not the finest but I watch this one the most. Incredible scenes.. some even bring a tear to my eye. I might be a little biased on this one, though. 
I'm sure I've forgotten a couple but these should keep you busy for some time. Man, maybe I should open up my own Nature BlockBuster video store. I've got more nature programs than Hollywood movies in my collection.