Robert Altman's commentary on 3 Women. I went back and listened to it immediately after finishing the movie for the first time.
Also, it's not really a commentary in the usual sense, but the long "interview" with David Lynch on the Eraserhead DVD is worth the whole price of the disc, IMO. Just an hour and a half of Lynch telling stories about the making of the movie, his early days, and some great little tangents about people who knows or knew. He also gets Catherine Coulson (the Log Lady from "Twin Peaks" and a longtime friend) on a speaker phone at one point and chats with her. It's really great.