Discotek Media released the blu-ray of the movie, most likely the definitive version.
The best place to buy the short would be in the Winsor McCay compilation set called Winsor McCay: The Master Edition by Milestone Films. It's most likely a complete set of every existing bit of McCay animation from quality archival sources.
I have a DVD from the late '90's called Animation Legend: Winsor McCay that has the animated Little Nemo cartoon. It was put out by Lumivision and is currently out of print. The contents mirror the disk Joe cites above.