If you don't have access to the Internet, there are obvious attractions to TeX collections on a disc. Even those with net access will find large quantities of TeX-related files to hand a great convenience.
The TeX Live distribution provides this, together with a ready-to-run TeX system. The TeX Live installation disc offers teTeX for use on Unix-like systems, and fpTeX for use on Windows systems. There is also a 'demonstration' disc and an archive snapshot (all on CD- or DVD-ROMs). TeX-Live 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.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=CD