I liked "Working Girls", no, not the Melanie Griffith thing. This was directed by Lizzie Borden and is basically a day in the life of a typical NYC brothel. The depictions of the johns are hilarious. Every sterotype you can think of but still funny as hell.
I also liked the documentary "The Chicken Ranch" which was of course about the aforementioned brothel in Nevada. I think this was filmed in the 80's. Interesting in that the working girls are all real. Lot's of johns depicted also but I don't know if they were real or actors. Even though legal, what guy would want himself filmed while visiting a brothel?
I was going to say Butterfield 8 you beat me to it!!!
Sonny(Indie film Nicolas Cage directed and wrote with James Franco and Mena Suvari) great movie!!!
Belle Du Jour(Catherine Deneuve is absolutely deliciously sexy)