The Big Short is a great movie. Both educational and entertaining. Though, for a much more in-depth look at that era, see the four part NPR documentary:

[Link: pbs.org]

It's very good, and involves a lot of the folks who were involved. Movies are not generally a good way to get the facts, since they have to condense things so much. Lots of things get skipped over, multiple characters get condensed into one, and so forth.