this depends:-) Some are internal commands of your shell, some scripts, some are compiled programs.

You can find out more with the type command: For example: type type gives (in my cygwin bash!) type is a shell builtin.

If you type type bash, your answer will be something like bash is /usr/bin/bash.

Now you can inspect what type of file /usr/bin/bash is: file /usr/bin/bash says something like ... executable ..., so this will be a compiled file, presumably written in C, FORTRAN or whatever. If the answer is something like ... script... you can inspect this file with a normal text editor like gedit, vim or whatever you like.