Canon

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The canon of Futurama is what is accepted by its fans to be "truth" in its universe. This article does not describe what is, but merely what fans think is canon.

What is canon?

Episodes and films
By all fans, the episodes and the films are considered canon.
However, certain sequences within episodes such as dreams/hallucinations and the What-if? scenarios and crossovers would usually be considered non-canon, as these are not (or not necessarily) real in Futurama 'reality'.
Dubs and translated subtitles sometimes include other jokes as the original wasn't translatable. These generally do not serve as canon. For example a running joke is that French is a dead language, but the French dub uses German as the dead language instead - not canon.
Extra DVD contents
Wherever the information added is not overly plot changing and does not conflict with information in episodes, the extra may be considered canon.
Audio commentaries
The audio commentaries provided on DVD's - information such as names of background characters, further information on ongoing events, et cetera - are considered canon unless they contradict the episodes entirely. For example the commentary of "Leela's Homeworld" says that the dead whale is Mushu, but Mushu is seen alive in a later episode.
Comics
Some details that have yet to be provided by episodes can be loosely considered canon, however due to there being an Xmas comic set in the same year as an Xmas episode and a number of fourth wall breaks, the plots are generally considered non-canon.
Console game
Not viewed as canon, this is due to the infinite time loop that includes the death of several characters. It can, however, be viewed as a What-if? scenario as these are not canon.
Other merchandise
Toys, calendars, etc. Not viewed as canon, though most of the remaining merchandise provides only a small amount of information. The calendars usually contain one-off jokes that are far from canon and action figures have been seen to claim as fact things characters have said dishonestly, such as Zoidberg losing his degree in a volcano.

Dealing with goofs and contradictions

Most fans deal with goofs and contradictions over episodes as it was not known until later (e.g. Farnsworth mentions there is only two parallel universes in "I Dated a Robot", but in the "The Farnsworth Parabox" a lot more parallel universes are revealed to exist, though these may have actually have been perpendicular universes), the case here is slightly different (e.g. Bender mentions in "Crimes of the Hot" that he cannot get up when on his back, but in many episodes he does that, but this is because he was slightly on the side) or simply accept that the writers did not think it up until later (e.g. "Brannigan, Begin Again" ("Or like the Federation from your Star Trek program") and "I Dated a Robot" (Old-TREK-vs-new-TREK community is seen on the Internet), but in "Where No Fan Has Gone Before" it is revealed that merely saying Star Trek is forbidden).