It was the first documentary to win the top prize since Jacques Cousteau's The Silent World in 1956.
The film received a 15-minute standing ovation when it was screened on Monday.
Fahrenheit 9/11 explores the Iraq war and alleges connections between President George W Bush and top Saudi families, including the Bin Ladens.
The documentary uses Moore's customary satirical style to accuse Mr Bush of stealing the presidential election in 2000, ignoring terrorism warnings before 11 September 2001 and fuelling fears of more attacks to secure Americans' support for the war in Iraq.
'Overwhelmed'
"What have you done? I'm completely overwhelmed by this," Moore said in his acceptance speech.
"I want to make sure if I do nothing else for the rest of this year that those who died in Iraq have not died in vain."
Thanking the jury headed by cult director Quentin Tarantino, he added: "You will ensure that the American people will see this movie...You have put a huge light on this."
Among other awards at Cannes:
The film Old Boy, by South Korean director Park Chan-wook, won the Grand Prize
Jury Prizes went to Thai director Apichatpong Weerasethakul's film Tropical Malady and to actress Irma P. Hall for her part in The Ladykillers
French film-maker Tony Galif won the director's award for his film Exiles
Yagira Yuuya, a 14-year-old Japanese boy, was named best actor for his role in the film Nobody Knows
The best actress award went to Maggie Cheung from Hong Kong for her performance in the film Clean
Keren Yedaya's Or won the Golden Camera award for best film by a first-time director.
Positive
Michael Moore's film was originally set to be released in the US through Disney subsidiary Miramax, before Disney blocked it. It is now expected to be released through a third party.
The critical reaction to the film has generally been positive, with praise coming from The Washington Post, Time Magazine and British newspapers including the Independent and the Telegraph.
However, others have been more critical of the film. The Hollywood Reporter said Moore was "pioneering a reality film as an election device."
And trade paper Variety described it as "rather less incendiary than expected" and said it was "a blatant cinematic 2004 campaign pamphlet".
Fahrenheit 9/11 was competing against 18 other films for the Palme d'Or.
What an ass. 
And MM is wrong. "I want to make sure if I do nothing else for the rest of this year that those who died in Iraq have not died in vain." They did die in vain as they shouldn't have even been there.
