Personally, for most movies, I would get the VCDs if I haven't watch the movies in the cinema as they cost less than DVDs. However, mosts DVD have extra features that are worth investing especially if it is a movie that you like. It really enhances the value of watching the movie. There were some DVDs that I rented just to watch the extra features.
The making of and director's commentory are one of the last things that I would watch unless I have the time. I would normally go first for the alternate / deleted / extended scenes. Watching alternate endings is one of my favourites just to see a twist to the story and whether the ending they chose was better. As for extended / deleted scenes, for some movies these are actually more interesting to have because they provide more backgroung information in understanding the plot of the movie. Then I would go for the bonus short film (10 minutes) they added inside. Most pixar films have bonus short films included in the DVDs.
The making of sometimes provides insights of a movie. For example, watching the making of "Paycheck" helped me appreciate the movie more. When I watched the movie again, it helped me appreciate the symoblic meanings of insignificant things like the palmastry hand in the room. It also helped me link the workout done with a stick. The first time I watched the movie, I thought the actor was just doing some exercise. After watching the making of and then watching the movie again made me understand that it was like background to a fight scene - that the actor knew how to fight using a stick.
I love watching alternate ending so sometimes I would get a DVD just to watch them.
So far, movie with alternate endings that I watched are Butterfly Effect, Bourne Identity, Bourne Supremacy, Terminator 2 & National Treasure. For The Incredibles, it had an alternate beginning instead. Too bad for "Cats and Dogs", the alternate ending needs a DVD-ROM to access and I don't have one. 
The DVD of "Finding Nemo" is interesting in that it has extras like turning your DVD into a virtual aquarium, playing games (really gives one the feel of using a DVD like a PC as you can select an option and it tells you whether you're right and even keep tracks of your score), easter eggs and other features.
DVDs features can be amazing, don't you think?
Do you watch them?
