If you don't have access to the Internet, there are obvious attractions to TeX collections on a disc. Even those with net access will find large quantities of TeX-related files to hand a great convenience.
The TeX collection provides this, together with ready-to-run TeX systems for various architectures. The collection is distributed on DVD, and contains:
A fair number of national TeX User Groups, as well as TUG, distribute copies to their members at no extra charge. Some user groups are also able to sell additional copies: contact your local user group or TUG.
You may also download disc images from CTAN; the installation disc, ProTeXt and MacTeX are all separately available. Beware: they are all pretty large downloads. TeX Live, once installed, may be updated online.
More details of the collection are available from its own web page on the TUG site.