Further to Scott's reply, another example of a command is a SQL statement in proc sql.
You can start proc sql, and then run SQL statements as you go. Each SQL statement is standalone within the procedure, and doesn't need anything else (like a run;) to be executed.
A third example is proc gplot: You start it, and then do as many plots as you you want on the table the procedure uses. In this case, because a graph might need several statements, each graph is created when the run; statement is encountered.