You may not be looking forward to Madonna's new directorial effort, "W.E.," which is supposedly quite terrible. Or, if you are interested, it's actually to see the train wreck — what Daniel Walber excitedly called "marvelously wretched," "perhaps the most hilariously dreadful period piece ever filmed" and "destined to become a cult classic, with accompanying drinking games galore and even the occasional costume party." But this sort of celebration of camp might have to wait until after the drama opens and presumably bombs at the box office. Out of respect to those with more serious moviegoing intention.
What if you really want to cinematically know the story of Edward VIII and Wallis Simpson? Provided you didn't get enough of the affair followed by abdication as depicted in "The King's Speech," or you prefer a documentary account, there's Harry Booth's 1967 Oscar nominee, "A King's Story." Based on Edward's book of the same name and adapted by Oscar-winning screenwriter Sydney Box ("The Seventh Veil") and "Dr. Who" scribe Glyn Jones, the film mixes archive material, performed readings and interviews with the Duke and Duchess of Windsor (their titles after his abdication and their marriage) with a voice-over narration read by Orson Welles. Prior Oscar nominee Jack Levin ("The Finest Hours") produced. Clearly this is a prestigious work from major documentary talents.
How you can watch the film is not a simple matter, though. And this is a problem I brought up just yesterday on the Documentary Channel Blog regarding the terrible unavailability of Oscar-nominated and Oscar-winning docs and nonfiction classics in general (then it was because of the difficulty finding a copy of "Walls of Fire" for Diego Rivera's birthday). Amazon has new copies of "A King's Story" for $200 while DVDs can be found on unfamiliar (as in uncertainly trusted) websites for around $30. I haven't come across any service that rents the film, so unfortunately I haven't seen more than what's in the intro and clip below. I can only guess that it's worth viewing.
There are other, less-acclaimed documentaries about Edward and Wallis Simpson, including the 1995 TV doc "Edward VIII: The Traitor King," which you can watch segmented in full on YouTube, and the 1996 TV doc "Edward on Edward," in which Prince Edward (Charles' brother) tells the story of his great-uncle. Some of them might not truly be better than Madonna's movie, so seek them out if curious but not with high expectations.