I have this problem with actually having to own the anime that I watch. Mainly because there aren't really any stations here that focus on anime. We tried to call our local cable provider to get the Anime Network, but they said it was unavailable. Horse shit.

Anyway, I usually buy either a complete box set, the box and just the first volume, or one at a time. Right now, I have the Full Metal Panic? box set to fill in. Sadly, I'll have to go online to get the rest of the volumes.