A parenthetic expression is an expression that could be placed in parentheses. When using these expressions, a comma should be used.
It is great, when it's windy, to fly a kite up here.
On a tuesday, when they cook fish, I love the smell.
A name or title when addressing someone directly is parenthetic.
Oh my, Jane, how did you get that?
If you go out looking like that, My Lady, I can't be held responsible.