An audio commentary is an additional audio track provided on DVDs, which can be switched on instead of the regular audio track. This extra track often has several of the show or episode's makers talking about the episode in question.
This sort of feature allows fans and people interested to get a further understanding of how an episode came into being. The amount of focus on making commentaries may vary from show to show, but Futurama maintains a disciplined nature of having commentaries for all its episodes and films with no exceptions (save, perhaps, the episodes of season 5, but since they are cuts from the films, and the films have commentary, it can be argued that they do have commentary).
In rare cases, does other media than episodes or films have commentaries. For instance, "The Lost Adventure" from the game and "Hell Is Other Robots"' animatic have commentaries.