A commentary is a book (or series of books) that discusses the biblical text.
Use of commentaries can greatly improve biblical knowledge and exegetical technique.
The function of a commentary is to inform your understanding. It is a study aid, not a study substitute.
Allen, et al., New International Commentary on the Old & New Testaments, 1974-2012.
Allen, et al., Understanding the Bible Commentary Series, 2011-2013.
Bauckham, et al., Word Biblical Commentary, 1989-2006.
Bock, et al., Baker Exegetical Commentary on the New Testament, 1992-2010.
Carson, New Testament Commentary Survey, 2007.
Carson, et al., New Bible Commentary, 1994.
Carson, et al., Pillar New Testament Commentary, 1988-2010.
Garland & Longman III, Expositor's Bible Commentary, 2006-2012.
Smith, Old Testament Survey Series, 1993.
Utley, Bible Lessons International, 1997-2004.
Walton, Matthews & Chavalas, IVP Background Commentary: Old/New Testament, 2000.
Wiseman & Morris, Tyndale Commentaries, 2000.
Other suggestions can be found at Best Commentaries.