Great question, and it'd be cool if someone had a good answer other than books / magazines (New in Chess for example).
When you look at a somewhat well known (or better) game on chessgames.com there is usually some good kibitzing you can read. Nothing in depth that covers every move, but certain key positions and such. At least it's a start :)
If you're newer to chess some explanations may be lacking in that they'll assume you see and understand certain moves/refutations. If this is a concern for you I'd suggest a book that actually gives some insight for every move for the games it covers. Some classics include: "Logical Chess Move by Move" (Chernev) "Most Instructive Games of Chess Ever Played" (also Chernev) or "Understanding Chess Move by Move" (Nunn).
I'd like to start the exercise of taking grandmaster games and analyzing and annotating them. I'd like to know where I could find such games as well as analyses done by stronger players so that I can compare my notes afterwards. Thanks!