I have Seasons 2 and 3. As for Season 1, I think I'll just start taping it from TNT when that starts in the fall. Save some money. Season 1 is the most pricey everywhere I've seen (in all the stores, it's like $60 or close to it, and on amazon it is like $52, and even on ebay it's more than I want to pay for it.)
I got good deals on the ones I have. If I get a good one on Season 1, I'll buy it, but if not, then I'm just waiting for the TNT reruns.