Definitely worth it! He recommended this set to me when I was making my order for my October horror marathon. I watched every movie in the set already (didn't watch either documentary yet) And I must say I enjoyed this set a lot! Sure there was some better then others... but the set is well worth it! 
Definitely watch the documentary. I saw it on TCM a couple of years ago, and that was the reason for making the purchase. It helps you to understand why he was so successful on the shoestring budgets he had.
One of my favorite parts of the documentary was when they explained how the head of RKO, after the success of Cat People, would just hand Lewton a slip of paper with a movie title on it, and Lewton had to build a film around that. That's where they came up with
I Walked with a Zombie.
Ever wondered where what has become a common place effect in Horror films came from? You know, a person is be pursued by someone or something and all of a sudden you think they're about to be attacked or killed, but it's a fake.
Well, Val Lewton created that practice...
