I'm a little shocked that I've gone so many years being an Elliott Smith fan, and living in Portland (where it is contractually obligated that you be an Elliott Smith fan), but had never heard of Strange Parallel, a 1998 30-minute documentary on Smith. Directed by Steve Hanft as a promotional film (never released commercially), it's hard to find -- but a copy has popped up on YouTube, and it's well worth a look if you like Elliott Smith. Part documentary, part experimental weirdness (as in the sequence where Smith contemplates buying a "robot hand" to improve his guitar playing), this is a gem, despite the poor YouTube quality.
Here's a nice comment from the Wikipedia page by the director, explaining the film:
Director Steve Hanft says this about the film: "In 1998 I was hired to make a film for the reclusive rocker Elliott Smith. Very excited, I flew to Portland, Oregon, where he was staying and met with him to figure it out before we filmed. At the meeting he explained, in a very quiet voice, with a slight smile, that he didn't want it to be a straight-up documentary. So I suggested he write down some of his dreams. The next day, we met again, and he began talking a lot, and louder, telling me all about how he "had a fucked up dream last night." It was very funny when he explained it, everyone in and around the music business he was in was telling him to get a mechanical hand to replace the hand that he'd trained for so long to play guitar. There was also a military recruiter who came into the bar where he was writing a song that would yell at him for no reason, and Satan was there, that kills me. A lot of people who know him from his music don't understand that he was really funny. So we wrote the dream into the shot list and intercut it into the more traditional music footage. It was hard to get the documentary footage out of him, he hated being interviewed. He was much more into the dream sequence and we had a lot fun shooting it. It was an amazing experience and just knowing a guy like that, so talented and brutally honest, has changed my life. Bless him."
Update: see also, Lucky Three, a 12-minute short by Jem Cohen featuring live performances of several songs.