Burden of Dreams is an odd choice for the Criterion Collection: It's a documentary about the making of a film (Fitzcarraldo) which itself has not even been released on the Criterion label. It's also the only making-of doc that Criterion has ever released (at least to my knowledge).
That said, Fitzcarraldo is strikingly unique in the history of film, and the story behind it is one worth hearing a little more about. It all started haltingly -- with Jason Robards and Mick Jagger, believe it or not, starring in the movie about a crazed rubber baron who wants to build an opera house deep in the Amazon rain forest. But after Robards gets sick and Jagger drops out, the film starts over, with Klaus Kinski in the famous lead role as Fitzcarraldo. Fitzcarraldo isn't just regular-crazy, he's totally nuts: Part of his plan involves dragging an enormous barge over a mile of land in order to reach an otherwise shut-off river, and director Werner Herzog staged this -- for real -- during the making of Fitzcarraldo.
Strangely, Burden of Dreams is a better film than Fitzcarraldo, if only because you get to see the fictional portions of the film -- in brief -- along with the backstory behind them: Herzog's financial problems, the massive complexity of the ship movement, the defections, the technical problems, and of course Herzog's renowned obsession with finishing the movie. Fitzcarraldo takes a massive engineering challenge and ultimately makes it boring. Burden of Dreams puts it into context, and that's worthwhile.
However, ultimately Burden of Dreams feels a bit like "bonus material" you might find on the Fitzcarraldo DVD, and it certainly doesn't stand on its own unless you've seen Herzog's film.
The disc includes a load of extras, include a booklet of excerpts from various journals, commentary from director Les Blank and Herzog, deleted scenes (alternately you could just watch Fitzcarraldo), an interview with Herzog, and the famous short film, Werner Herzog Eats His Shoe, wherein, well, you figure it out.