I bought this when it first came out. At the time of release (2008) some of it wasn't available individually on DVD (Tony Ferrino, Paul Calf Video Diaries). But I think everything has been released individually since.
It's a great set. It was released before The Trip, but everything else he did on the BBC is there. Some have plenty of extras (everything that had previously been released on DVD, Partridge, Saxondale, Dr Terrible), others are barebones.
Personally I loved most of it. Coogan's Run is quite hit and miss and Dr Terrible is just that, terrible. Everything else is great.
On Paul and Pauline Calf's Cheese And Ham Sandwich it even has Paul Calf's appearences on 'Saturday Zoo' (an early 90s Jonathan Ross show on C4, Paul Calf did a 5 minute set every week). This was the first time I ever saw Coogan, I was only about 10/11, it took me a couple of weeks to figure out Paul Calf wasn't a real person.
In order of personal preference:
I'm Alan Partridge Series 1 & 2
Paul and Pauline Calf's Video Diaries
Knowing Me, Knowing You/Yule
Saxondale Series 1 & 2
Paul and Pauline Calf's Cheese And Ham Sandwich
The Tony Ferrino Phenomenon (the strange 'documentary' is better than the main feature)
Dr Terrible's House of Horrible