Many commands print a brief summary of the possible options when you invoke them with --help. This won't explain in detail what the options do, but it's a good way to find the name of an option you've forgotten, or to find what options are available if you already have some basic familiarity with a command. Not all commands support --help, but I've yet to encounter a command that did any damage when run with --help, so go ahead and try. A few commands respond to -help but not to --help.
The traditional documentation utility on unix is man. For many programs, and in particular most command line utilities, run e.g. man mkdir to see a description of the command and its options.
A few commands are built into the shell. These have no man page; they are documented in the shell man page instead (man bash or man bash-builtins, if your shell is bash; man zshbuiltins if your shell is zsh). Run type COMMAND_NAME (e.g. type mkdir) to see whether a command is a builtin or an external program.
Beyond that, there may be more specific documentation. For example, the complete reference for mkdir on Linux is the coreutils manual (under mkdir).
mkdir,-pmeans "If the parent directories don't exist yet, create them too" – Shadur Apr 11 '12 at 5:43