On the whole, I'm a huge fan of commentaries on DVDs, though I usually prefer mixed actor/director ones over just the director. On a good commentary, you can learn so much more about the movie and little quirks about it and how they made it. On a bad commentary, you can turn it off and watch the movie instead.
The fight club commentaries are great, as Mr.Deflok mentioned, and there are several more that I'm blanking out on right now that are great as well.
As for your issue, my only guess is they screwed up and made it really obscure how to switch the commentary on or off for them. Maybe a button for it blended into the background of a dvd menu screen or something, my only guess. Either that or someone who made the dvd royally farked up.
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...And then I found $5!
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