The first I ever bought is Three's Company Season 1 (favorite show of all time) and I got Honeymooners, Classic 39 episodes as a Christmas present 2 years ago.
I bought some Friends best-of in early-mid 2001, when they first started releasing those. If I remember right, it was two discs and had ten episodes (I don't have it anymore, since my affection for the show has long since waned).
My first season set was The Simpsons Season 1 in 2001.
Lordy, it was so long ago, I'm not 100% sure. It might've been the "Quantum Leap" pilot episode -- released in the days before season sets became the norm.
It was a favorite of mine when I was a kid, and I saw it in a "junk stack" at Kroger while buying groceries. I knew nothing about the TV-on-DVD market before making this purchase, but this discovery has cost me quite a bit of money the last three years.
The first TV DVD that I got was Treasures Of The Twilight Zone (in, I think, late 1998) and the subsequent TZ volumes. The first season set that I got was The X-Files: Season One (in May 2000).