There are already two great reviews for this. I don't know if there is any fresh insight I can add, but I'd like to try.
What is this documentary? Well, on the surface level, it's about a guy who dresses as a creepy clown. Part performance art, part urban legend. Really, what we have here is a documentary about fear, and the various reactions to it: hostility, admiration, adoration, inspiration.
Psychologically speaking, it's very fascinating. Personally, my favorite part was the posturing, and overreaction. Do you know how people react when they are genuinely not afraid? They're calm. Do you know how people act when they are afraid, but don't want to show it? They try to make themselves look big and sound loud.
Now, moving back to Wrinkles himself, we have a fun journey that feels - appropriately enough - like a carnival ride. Who is Wrinkles, really? What are his motivations? We do get the answers, more or less. However, just like the clown himself, not everything is as it seems.
There is a quality of mystery here.
From a technical perspective, this is very well made. The editing, and direction are superb. There is not a dull moment to be had.
For me, what makes a documentary good on not comes down to one question, "will I enjoy this despite knowing nothing about, or outright not liking, the subject matter?" The answer is a very clear yes.