I just bought Season 2 on DVD, and I've got addicted to the commentaries. One thing I like is hearing about all the things they very *nearly* put in the show.
For instance, when Bender first meets Flexo, the two of them swap serial numbers ("we're both expressibles-as-the-sum-of-three-cubes!"). In a later episode - "Bender Gets Made" - there's a deleted scene where Bender opens his chestplate and scratches out his serial number. One plan was to have Flexo's number in there - so an absolute Futurama fanatic, who knew Bender's number by heart, might spot that Flexo had somehow supplanted Bender, stolen his identity, and replaced him for the rest of the show. Anyway, they decided against it. It made me chuckle, but I'm glad they didn't do it (not that I ever would've noticed!) :o)
Another thing was, when Hermes got the brain slug, they considered keeping it on him for the whole of the series. Am I the only person who really wished they had? I always thought Hermes was the show's weakest link, but that brain slug really cracked me up :o)
I guess the joke might've worn thin, but hey! So did Herme's accent :oD
And the funniest thing I've ever seen in Futurama was the deleted scene from The Deep South - Professor Farnsworth snoozing in a deck chair, muttering, "Zombie Jesus? And he's coming for dinner? But I have nothing prepared!" But maybe that's because my friends have been ranting about Zombie Jesus since long before I saw the show...
Any others I'm missing?