Count how many seasons your TV show aired. Most TV shows on DVD are packaged season by season, so you'll need to know how many sets you'll need to purchase to collect the entire run of your favorite program. (In a few cases, the entire series is contained in a single DVD; series that only ran a season or two are the most likely candidates for this, though deluxe sets are sometimes available for longer-running shows.) Wikipedia is actually a very good place to determine how many seasons your show aired and contains information on a wide variety of shows.
Determine if your TV show is available on DVD. While a staggering number of shows are for sale, some are out of print, while others have yet to be released on DVD. (A prime example of the latter is the 1960s "Batman" show starring Adam West, which has languished for years without an officially licensed DVD release.) Amazon.com is a great place to learn if your show is currently available and can direct you to smaller retailers who may have used copies of out-of-print DVDs.
Shop around for the best prices. In some cases, a local retailer may offer the best price, allowing you to avoid shipping charges and to take the show home right away. Online retailers such as Amazon and TV Addict often offer excellent prices as well, though you may need to wait a few days until they arrive on your doorstep. Ebay is also a good place to find new and used DVD sets, sometimes at bargain prices.
Pick the retailer which offers the best price, make your DVD purchase and enjoy.