I was delighted to receive in the mail yesterday the second edition of Craig Keener's well known The IVP Bible Background Commentary. What a great idea--the one piece of the puzzle you can't get from the text itself is the historical and cultural background of the text. These are the things the text assumes because the original author and audience already knew it, swam in it. But you don't know it because you're swimming in the twenty-first century.
So how about a commentary that goes passage by passage with a view to the background you have no other way of knowing? As you would expect, the commentary comes from a mainstream American evangelical perspective.
Also of tremendous value on this score are the social-scientific commentaries of Bruce Malina.
I also would like to suggest the Eerdman's Commentary on the Bible as the best one volume commentary on the whole Bible. It will give you the most recent historical-cultural background of passages in dialog with the most recent informed discussion of scholarship.
Matthew Henry is good for spiritual insight, but this is the kind of source you want for contextual insight, all in one volume. The authors tend to be British evangelical-ish. That's the best of both worlds--faith-friendly but truth-insistent.