I'm a film student dropout, so I'm a sucker for a good commentary (not just some jackass describing what's onscreen) or documentary featurette (not just made-for-HBO promotional pieces).
I'm not a huge fan of commentaries that aren't done by the director, writers, or lead actors, because it usually seems like they weren't intimately involved with the production. Film historians and other professor-types seem to be the worst. But Garrett Brown (inventor and operator of the Steadicam) does a terrific one on The Shining, and Ebert does a great co-commentary with Terry Zwigoff on Crumb. I've not heard Ebert's other commentaries, but he's consistently interesting and insightful, so they're probably good too.
Coppola's commentary on The Godfather is very revealing as to the creative decisions and the hardships that went into that film. I remember being particularly taken aback at how gentlemanly and gentle Coppola seems, and wondering how such a man could have achieved such a brutal and tragic masterpiece.
Paul Schrader is an interesting one. He is, for my money, one of the greatest and most underappreciated artists of American cinema, but furthermore, he also made his bones as a film journalist. I always make it a point to check out a DVD feature or commentary if it has his name on it.
Fight Club actually has a few good commentaries. The one I remember in particular is the one with Fincher, Norton, Pitt, and Bonham-Carter all sitting in. Right off the bat, the hilarious interplay between Norton and Pitt monopolizes the track. Fincher gamely attempts to be serious here and there, while Bonham-Carter is apparently out for a smoke for the majority of the time. There isn't a lot of analytical value, but that mild criticism is dwarfed by the entertainment it has to offer.
I'm trying to think of some of the more oddball special features that have captured my attention...
Ah, yes. Monty Python and the Holy Grail. I love it when the original creators have input into the design of the DVD, because it enables the artistic sensibilities of the film to inform everything else on the disc as well. This particular disc has "a special feature for the hard of hearing" (a voice that loudly narrates each menu choice) and the very excellent trailer for the film (one of the few instances in which putting the trailer on the DVD is merited), among other great selections.
I'm not a huge fan of the Superman: Special Edition. The added scenes and sound effects are a huge distraction. But the disc does have a music-only option, which is a great feature that I wish more movies had. It's amazing, how much of the spirit of the story and the character is communicated solely through the music and visuals.
What else... Memento has the feature that allows you to watch the movie with the scenes arranged in order. Perhaps this makes the film itself not as good, but it's very interesting nevertheless, because it drastically recasts the role that the audience plays. Normally, it's a very first-person experience. With the special feature engaged, we're helplessly observing the whole tragic crash course.
I wholeheartedly agree. These guys take metafiction to hilarious levels. I particularly liked the antipathy they had towards their "director" over how misrepresented they were in the film ("wanker... bloody wanker"). A good nod to documentary filmmakers who are often criticized for their manipulation of the subject matter.