Last year they did one for the half-woman in the park, kind of explaining how she got there... At least I THINK that was her IIRC. This year's I haven't watched yet because I'm torn 30 directions anymore but they're basically little shorts, usually broken up into 4 episodes that create one long story that has little to do with the main characters.
More like, "And here's what was going on here!" kind of a thing. They're pretty good quality... Not as good as the show itself, but good. Sometimes compelling ideas about people's decisions they'd have to make, or the conflicts that could arise for any given survivor just trying to make it to the next day.