There's a new documentary out on Ms. O'Day: Anita O'Day - The Life of a Jazz Singer - that is getting good reviews and probably well worth hunting down if you're lucky enough to live somewhere slightly less rural than New Hampshire. The last documentary that played in my home town was Our Friend, the Beaver at the Grange Hall. I also recommend Anita O'Day's gritty, noirish biography, High Times, Hard Times.
Bryant Gumbel: "Your personal experiences include rape, abortion, jail, heroin addiction..."
Anita O'Day: "That's just the way it went down, Bryant."
Here's the trailer for Anita O'Day - The Life of a Jazz Singer