Yes, I used to do this a lot. Not so much anymore because I don't buy DVDs anymore. But when I was a film student I loved a good director commentary almost as much as the film. Particular favourites included Paul Thomas Andersons commentaries on Boogie Nights and Magnolia, Terry Gilliam's Fear and Loathing in Las Vegas, Wes Anderson's Rushmore (those Criterion Collection discs were awesome), Brad Pitt and Edward Norton's commentary on Fight Club was good too.
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Listen big boy, now that I've got you made, goodness but I'm afraid, somethings going to happen to you...