There's about 60 episodes (out of around 200) on DVD. I think they're up to Volume 12 of the boxsets which have 3-4 each, and then about 20 individual episodes. For the value, the best one to start off with is MST3K Essentials which is Manos, the Hands of Fate and Santa Claus Conquers the Martians for about $20. You can't beat that.
spoiler (click to show/hide)
Or you could get every episode on bootleg DVD-R.
(http://i41.photobucket.com/albums/e295/JoeMolotov/mst3k.jpg)
Which is the only way you'll ever be able to see every episode.