NOTE: This question was asked before the commander rules update that removed the replacement effect. Discarded or killed commanders now go to graveyard first as normal then move to the command zone from the graveyard as a state based action
There is a rule in commander that lets you put your commander in the command zone instead of other zones:
If a Commander would be put into a library, hand, graveyard or exile from anywhere, its owner may choose to move it to the command zone instead.
There are additional clarifications:
This is a replacement effect. It applies last and may apply multiple times to an event.
The creature never goes to the original destination zone and will not trigger abilities that trigger based on going there (e.g. "dies" triggers).
So, if I have to discard my hand, and my commander is in it, and I choose to put him in the command zone, does that trigger Liliana's Caress or similar cards?