1. Start the Blazing Saddles DVD (the 1998 release; I'm not sure if there has been a re-release or not).
2. Hit the audio button to change the audio to the fourth option.
3. Mel Brooks has a solo commentary that begins right after the opening theme song (specifically, chapter 2 of the DVD).
(This feature is not listed as a special feature; nor can it be found on any of the menus)