io9 has a great article called 10 Futurama Jokes that will make you smarter complete with episode segments and descriptions of some of the more obscure ones. I got some of them, but I learned quite a bit as well.
Do you have a favourite Futurama episode? Or gag from an episode? I always loved the scence from Where No Fan Has Gone Before when they make a joke about they way explanations work on Star Trek: TNG, with a complex technobabble idea that is then illustrated with some simple analogy. It has probably stuck in my mind because I watched an episode of TNG around the same time where they did the schtick word for word.