If you have only read "The Devil in the White City" by Erik Larson and want to see and know more about the fair you will be happy with this documentary. If you have read many books about the fair and taken advantage of all the resources at the Paul V. Galvin Library Digital History Collection online you may find yourself wanting more.
The focus of this documentary was mostly a tour of the fair. In recent books on the fair there seems to be either a "horray for progress/wasn't the fair pretty?" or a "damn American imperialism, racism, and sexism" route. The tone of this documentary was neutral/celebratory as it largely omitted discussion of racism and sexism (with only a few passing mentions). There were photos I hadn't seen before, and the narration (Gene Wilder) was superlative.
I do have quibbles with the film, which are most likey not the fault of the creators. See, what I really want is a bigger-budget version of this, full of computer reproductions of the fair so that we can "walk through" it instead of just scenes of a camera panning over a still photograph or painting. The live reinactments were limited to a belly dancer, beer drinking, and the murder of Mayor Harrison. There was also some live footage of fish and animals that the fair goers would have seen, which I am ambivalent about. But don't just tell me that the great pyramid would fit inside the Palace of Manufactures and Liberal Arts, drive the idea home with a little graphic, even a simple one, of the pyramid sitting inside it.
All that said, this was worth every penny and contained a lot of great material which I am bound to watch over and over again.