OK. First of all, I must say this easter egg works in the zone 2 version of the DVD; I asume it is also in zone 1.
In the special features DVD, go to the second menu screen.
Enter in "Original storyboards" section.
Once there, press "More".
In the... more
On the second disc of the Gladiator DVD, go to the "trailers and tv spots" page. Click left on your remote and the emperor's broach should be highlighted. If you click it you'll be able to watch a preview for "Chicken Run" which parodies Gladiator.
The third and final easter egg on the Gladiator DVD isn't very exciting, but here it is anyway:
1) On the second disk, enter the CAST AND CREW
2) Select the Ridley Scott entry.
3) RIGHT ARROW all the way to the end of his