I don't think there is a box set, I haven't heard anything about one. #1 is a definate purchace for me! I've loved that movie since I was a kid. I might get #2 if I'm feeling fiesty. The others are rentals, just to refresh my memory of them.
Finally got around to watching "Critters" last night. The transfer was OK but I thought the sound was horrible. The 5.1 mix was largely center-channel bound and the dialogue seemed very low. I really had to crank the volume to even begin to hear the words.
Haven't picked up any of the sequels yet. I'd imagine they're largely of the same quality.
As an aside, it occurred to me how far New Line Cinema has come as a studio, from the days of "Critters" to "The Lord of the Rings".