I buy the DVDs one at a time or watch it on TV for the most part. I don't go for the boxed sets simply for the fact that I don't have room to display my DVDs and, since they're just going under my bed in a box, I don't need to spend the extra money on pretty-looking boxes. If it's one of those boxed sets that are released as good deals (i.e., cheaper than buying the individual DVDs, like Andromeda mentioned), that's another story.
Nowadays, a lot of my anime comes from TV due to my decreased lack of funds. The fact that Trinity Blood and Bleach are coming to TV soon excite me (especially the former, as I've seen some of it and like it a whole lot).
And then on occasion, you'll find me downloading fansubs, though NEVER of licensed materials. For example, I started downloading Monster over two years now and, while I've made very little progress in the last year (like...six episodes -_-'''), I still intend on watching it until it gets licensed (
if it ever gets licensed). The same goes for the live-action version of GTO, which I started a little less than two years ago and plan on continuing my über-slow downloading of the series until I finish it/it gets licensed.
But yeah--I usually get my fix from TV and DVDs.
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