I watched Todd Haynes' I'm Not There today. Loved it. Haynes is a visual fanfic, or band fic, writer and turns out some wonderful music films. I liked his Velvet Goldmine a great deal. Here he looks at Bob Dylan by getting different actors to play different parts of his personality, and running scenes which may be close to real life, a la Pennebaker, or completely fantasy, as in the case of the Billy the Kid scenes. The result is a picture of the man built up artistically rather than described linearly and it works perfectly, in my opinion.
Visually it's a feast - sumptuous colors and wonderful attention to detail in the 50's and 60's scenes which fit against the documentary footage without a visible join.