Most Blu-ray features leave me a little cold, but the Watchmen's "Maximum Movie Mode" actually looks really cool. In it, director Zack Snyder uses two screens to visually show various behind-the-scenes snippets while the movie plays.
The setup, which is Snyder standing in front of a couple of screens, allows him to freeze the movie as it plays, show the scene being shot next to the final version and compare scenes to panels from the comic book. It's the closest we've seen to actually having the director with you in your living room walking you through the movie. Great stuff.