Even if you're primarily a documentary fan, like myself, I recommend seeing Steve McQueen's "Shame," a film about a sex addict (Michael Fassbender) and his troubled relationship with his sister (Carey Mulligan). I love the way it's shot, I love the way it doesn't need to lay on much back story or explicit explanation (I've developed a nonserious idea in my head that at least Fassbender's character is the son of Patrick Bateman and Jeanne Dielman) and of course as a doc nut I love that there's a reference to "Gimme Shelter" in it. But it's not playing in many theaters yet, and even when it goes wider Cinemark won't show it, so for now you might need to settle for the doc option.
At the moment, there's surprisingly little in the way of documentaries about sex addiction. Caveh Zahedi's "I Am a Sex Addict" might be mistaken as one, but it's just a comedy with a documentary structure. A Christian-geared film titled "Somebody's Daughter: A Journey to Freedom from Pornography" is available on DVD (as part of a multimedia package, including a CD of Christian music), and it does look better than it sounds, but the religious angle may not be for everyone (of course, many 12-step programs are too religious for some, too).
For a topic that's pretty important these days -- given how Sex Addicts Anonymous is the world's fastest-growing substance abuse program -- I'd expect there to be more. But maybe, just as McQueen and co-writer Abi Morgen had some difficulty finding real sex addicts to just talk about it, it's likely difficult to find subjects willing to participate let alone appear in such a documentary. SAA's website does sell a documentary (on VHS I think) called "Addicted to Sex" but only gives the detail that it features recoverin addicts telling their stories.
There are some others in the works, at least. Director Ron Chartier and producer Baljit Sangra have been making a doc titled "In the Bubble: The Trance of Sex Addiction" since last fall, and according to their website they continue to seek interviews with active addicts, those in recovery and anyone whose life has been affected by an addict. You can follow the production and their attention to the issue via Twitter, though they haven't written in a while.
Another film I can't find much more than mention of and may not have ever been finished is called "Sex: The New Millenium Drug." There's also apparently something in the works from a sex addiction specialist named Paul Ginocchio. But that would be more of a video primarily for sex addicts seeking help.
For now you can watch an episode of the CBC documentary series "Doc Zone" from April 2009. Titled "Porndemic," it primarily deals with Internet pornography and covers a large scope associated with that. There is a section about a porn addict, however, and some address of sex addiction therapy, which includes porn addiction (and as you'll see in "Shame," Fassbender's character is as much into pornography as he is physical sex). The quality is not great, I apologize, but it's the best I could find. Watch below, via Google Video, or check it out in three parts on YouTube.