Most people who talk about the financial crisis draw comparisons to the 1929 crash that preceded the Great Depression. Indeed, in terms of yardsticks there probably is no closer event to compare to in recent history.
While most of us now know a lot about the financial crisis (especially if you watch some of the videos on here), it's not often that we get the chance to delve into history and study an event of similar magnitude and significance. I'll leave it to you to argue whether or not the actions that governments took during the crisis successfully avoided a repeat of the great depression, but for now, enjoy the film.
Finance Documentaries: http://www.financedocumentaries.com/2011/05/crash-of-1929.html