I am also a big fan of Lost, I can't even watch it weekly as I don't have Sky!
The DVD set is realeased after the series has finished and last year was released in the UK before the US, so perhaps you will have to watch it every week!
the episode shown in the uk on a sunday evening was first shown in the usa a few days earlier. so you will have to wait until the end of the series about 16 weeks( think they shortened the series because of the writers strike)
You can download them from the internet, but only as they're broadcast in the US who are a few days ahead of us so there is no way of getting the whole series to watch in one go, short of recording them all now and not watching them until the end :)