Fairly or not, documentaries like this one will inevitably be compared to Ken Burns's Jazz, especially when they contain some of the same material, as is the case here. But while Lady Day doesn't always benefit from the comparison (actress Ruby Dee, reading from Holiday's autobiography, and narrator David Smyrl race through their lines as if they've got a train to catch), it surpasses Jazz in one vital respect: instead of constantly interrupting the music with voiceovers, Lady Day offers some of Holiday's few performances on film or TV in their entirety, including "Strange Fruit," her graphic and disturbing song about Southern lynchings, and "Fine and Mellow," in which a visibly and audibly deteriorating Holiday is backed by Lester Young, Ben Webster, and other jazz immortals. --Sam Graham