A few day ago I saw the documentary "Lost in La Mancha" about his never completed film The Man Who Killed Don Quixote from Terry Gilliam. I have seen really many making ofs, behind the scenes et cetera. But this one is not one of the best, this was better than most films I have seen in the last few years!!!
Very entertaining but also very sad at the same time. They had to cut the budget from 40 to 30 million dollars right from the beginning, they had a ridiculous amount of troubles during shooting (weather, health problems for the main actor, NATO-jets interfering with the shooting from day one) and then you see ass time passes by how Gilliam let this project go in order to not get hurt too much! Really sad, overall a great documentary!!!
By the way the german wikipedia article list a number of projects Gilliam should have or wanted to direct but in most the cases the studio did say no. They list "A Scanner Darkly", "Watchmen", "The Golden Compass", "Charlie and the Chocolate Factory" and "Harry Potter".
The writers of Compass respectively Potter wanted Gilliam to be the director, but the studios wanted someone else. Very interesting and very entertaining what Gilliam rants about Chris Columbus' Harry Potter and Spielbergs abilities as a director: