"Night At The Opera" is good. The scene with the crowded room is classic. But if you haven't seen "Duck Soup", you should rectify that ASAP. Essential viewing.
I imagine that the only way I could get into "Satyricon" is by watching it on mute while getting super stoned and listening to music.
Probably don't need to clarify this but the Thompson and Steadman in Vegas doc is an extra on the "Fear & Loathing" Criterion. Actually, I've also watched the extras on the Criterion of "Naked" (which include one of Leigh's short films and an interview with Leigh). Think those are the only 2 I own.