I saw on the discussion boards, people were wondering whether the volume 1-4 set was different from buying the seasons 1 through 4 packages separately. I just received my 1-4 set and I can say for sure it is exactly the same as buying separately. This is not one boxed set, it is the 4 individual volumes shrinkwrapped together. This is not a bad thing! This is a whole lot of goodness! But if it's cheaper to buy them separately (and it is right now, as I write this), due to the weird fluctuations in the prices caused by sunspots, astrological alignments and black helicopters no doubt, the feel free to buy separately, you won't miss out on anything.
Another question plaguing the minds of today's young people: How come IMDB.com, epguides.com and GotFuturama.com (among others) say there are 5 seasons, but this set is four "volumes"? I dunno, but I can now say for sure, the 4 volumes contain ALL the episodes including "season 5", all 72 of 'em, plus a lot of extra goodies like commentary tracks. If you were holding back, I say go ahead and dive in, you have nothing to fear but cramps in your smile muscles and ribs from prolonged laughing.
I thought it was illegal to be that funny on TV.