If you don't have access to the Internet, there are obvious attractions to TeX collections on a CDROM. Even those with net access will find large quantities of TeX-related files to hand a great convenience.
A Ready-to-run TeX system is available from the TeX Live CDROM, whose eighth edition will be released in 2003. The CDROM was originally developed under the auspices of a consortium of User Groups (notably TUG, UK TUG and GUTenberg). All members of several User Groups receive copies free of charge. Some user groups will also sell additional copies: contact your local user group or TUG.
Details of TeX Live are available from its own web page on the TUG site.
An alternative to the ready-to-run system is the CTAN archive snapshot; in general one would expect that such systems would be harder to use, but that the volume of resources offered would balance this extra inconvenience. There were once commercial offerings in this field, but nowadays the snapshot supplied to user group members annually is about the only source of such things.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=CD