There are many great episodes but a nice varied introduction to Louis Theroux would be the following 5 episodes:
1. Law an disorder in Johannesburg - Intense. Guns, live action, shocking interviews, nerve racking and dangerous scenes. My absolute favourite.
2. Louis and the Brothel - Louis spends a month at Crazy Horse, a huge brothel that has opened in Texas. He holds some very interesting interviews with the girls understanding their motives and goals. One of the main characters is incredibly intelligent and takes pleasure in playing constant mind games with Louis.
3. Louis met Paul and Debbie - A famous magician marries his 20 years younger assistant 20 years later the marriage is going strong, a very warming episode of a high profile seemingly mismatched couple that actually seem genuinely in love.
4. Swingers - Louis spends a month with some swingers and learns about their mysterious ways. Quite hilarious.
5. Body building - Louis follows an Australian body builder in LA and then pursues some female body builders. The best part of this episode is the men that love female body builders.
Enjoy. Laugh and learn.