I really appreciate the IVP Bible Background Commentary... it gives cultural and historical context to the Scriptures that is quite often very helpful.
For a single volume commentary I prefer the Believers Bible Commentary, although, as others have noted, it just scratches the surface.
A historical commentary that I often refer to is Adam Clarke's Commentary on the Bible, it is really solid.
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All of these are available through the e-sword bible program which can be obtained for free online (
www.e-sword.net). The program is free, but modern Bible translations and commentaries cost money, but they are much more reasonably priced than real book commentaries are.