There is a forum for this called "PE Stockroom". (Since this is a product. But now I'm not sure, so don't take my word for it.)
*Sorry, I just had to do that. Here are some real spoilers.*
VOLUME 4
Hidden Table Reading:
Select the last episode on the last disc. On the Main Menu press UP once. The devil's robot hand will appear. Select it by pressing ENTER and you will discover a table reading of the episode.
Script description & the voice of 'Bender':
On Disc 3, select the episode "Where no fan has gone before". Once in the episode menu highlight the 'Home' option and press RIGHT. The original picture of the star trek crew will turn into a picture of the planet express. When this happens press ENETR and you will see one of the writers describe the process of creating a script as well as Joe Dimaggio showing how he created the voice of Bender.
Hidden Captions:
On Disc 4 access the episode selection menu, then select "spanish fry". Once your at the episode menu scroll down to scene selection and press LEFT. A "futurama logo" will replce Elzar, press ENTER to select it and you will have access to captions not used for the show.
Alien Translations:
On Disc 4, go to the last episode and press LEFT on your remote. Some food in the fridge should be selected, select it to reveal a full page of alien language to translate!
VOLUME 2:
Start by inserting disc on in your player and go to the 'I second That Emotion' submenu. Here, press the 'Up' arrow key on your remote control to highlight Nibbler’s eyestalk. If you press 'Enter' now you will see Matt Groening’s yearbook photo.
Now insert the second disc of the set and go to the menu for the episode 'The Lesser Of Two Evils.' Now, press the 'Left' arrow key to highlight the statue, followed by 'Enter' to see David Cohen’s yearbook photo.
Go back to the disc’s Main Menu and now enter the 'A Bicyclops Built For Two' menu. Here, press the 'Left' arrow key on your remote to highlight the purple pentagram, which will give you access to Eric Kaplan’s yearbook photo.
It is now time to insert the third disc of the set and go to the menu for 'How Hermes Requisitioned His Groove Back.' Press the 'Left' key to highlight the floppy disc, and press 'Enter' to see Bill Odenkirk’s yearbook photo.
In the submenu for the episode 'The Problem With Poppler' on the same disc you will be able to highlight Poppler’s image, which will bring up the yearbook photo of Patric Verrone.
Now, insert disc 4 in your player and enter the submenu for the episode 'War Is The H-Word.' Here, press the 'Up' key to highlight the Bender Bomb Remote, and you will get access to Eric Horsted’s yearbook photo.
The last one is found in the submenu for 'The Cryonic Woman,' on the same disc. Press the 'Left' arrow key to highlight the 'I Hate Mondays' poster and see J. Stewart Burns’ yearbook photo.
This hidden feature has been submitted to us by Purple Dave.
VOLUME 3:
Insert the first disc of the DVD set enter the menu screen for the first episode of the season, 'Amazon women In The Mood.' Here, press the 'Right' arrow key on your remote control to highlight a picture on the left. If you press the 'Enter' key now you will get to see a selection of taglines for the show that ere never used at the beginning of the show.
Now, go to the submenu for the episode 'A Tale Of Two Santas.' Once again press the 'right' arrow key on your remote control to highlight a picture. Press 'Enter' and you will hear a table-read version of the episode.
Next, stay in the submenu for 'A Tale Of Two Santas.' Press the 'Right' key again, followed by the 'Up' arrow key. You will now see an introduction by David X. Cohen in which he discusses Fox’s censoring and delaying the episode 'A Tale Of Two Santas.'