OOOOOOOOOOH Good thread, my collection needs expansion...
My favorites (no particular order) have to be:
All of the LOTR extended editions (even my girlfriend pretty much knows the entire staff of Weta by name, face, OR voice alone just off of how many times I've put this set on while working or napping)
the Alien Quadrilogy box set (Endless hours of bonus stuff, all of it awesome, and some great reference for any possible Alien project you might wanna do. Top notch)
The Ultimate Matrix set
the Star Wars OT has a good special features disc on all 3 movies
the Star Wars PT DVDs all have hours upon hours upon hours of stuff
the Indiana Jones trilogy set has a crazy amount of special features, although, obviously, not a huuuuuuuuuuuge amount of SFX stuff in there. Mostly locations and character footage
The Thing (awesome making-of doc and the Kurt Russel/John Carpenter commentary is hilarious)
All of Robert Rodriguez' movies (I'm actually making the cochinita pibil from his "10 Minute Cooking School" on Once Upon A Time In Mexico for a party at my dad's house this weekend. I've gotten quite good at it after watching that feature and writing everything down and just making the thing a few times)
Underworld (first one, I don't have the others)
The Blade Trilogy
Both Hellboy DVDs have good making-of docs
The Mist (There's a couple of making-of docs, a bunch of short webisodes, a feature on Drew Struzan, and Frank Darabont is just so much fun to listen to)
All 3 Spider-Man DVDs have some good stuff on them, although weirdly the worst movie has the best features
Whenever I put on Terminator 2, Jurassic Park is always sure to follow. They're great companions that reference each other a lot because they're the big two in the start of the digital revolution.
Batman Begins has good stuff on it, although the features on most of Chris Nolan's movies are always a bit slim as I think he likes keeping things close to the chest. The Dark Knight DVD was a huge disappointment for me.
Iron Man has some great features on it. Iron Man 2 does not.
Predator has pretty awesome making-of so I'm thinking of trying to get the second one if it has as much good stuff on it as the first.
More to come as I think of them but those are really the top of my list ones that get replayed a lot except the Indiana Jones set. I don't own that one but we Netflixed it a while ago before the new movie came out.