George Lucas mentions a few interesting points in his DVD commentary for Episode II, including mention of the final Star Wars film. Here's a few of the tidbits

His discussion during the arena battle sequence centers around Mace Windu, where he mentions the character's demise at the end of the Clone Wars. He also articulates that Bail Organa will be featured much more in Episode III, and that actor Jimmy Smits had to deal with just being introduced in AOTC. George at several other points reminds listeners of the importance of Episode II in that it is Anakin's move from innocence in The Phantom Menace to his complete downfall in Episode III.