Id like to buy this, but with the Region 2 on it I really do not want to order it only to have it not work. So if any one in the usa can say they bought it to have it work here in the states, then I too shall buy it.
You need a Region 2 or multi region player- freely avaible in the US. I had one when I lived in AZ and I have family in Chicago who bought one locally. Worth having if you want to buy Region 2/PAL DVDs, they WILL NOT play in standard US Region 1 /NTSC players.
It seems like the individual blu-ray discs are region free. Check out this link http://www.blu-ray.com/movies/Sherlock-Complete-Series-1-3-Blu-ray/77805/ So my guess is the blu-ray box is region free too. The DVD box set is probably only region 2. The best is, like Nom de Plume said, to buy a region free player. I own one for almost ten years now and it works great for me.
I strongly encourage you to get a region-free DVD player. They are pretty cheap these days, so the fact that they often come without a warranty isn't much of a risk. I've owned one for several years with no problems. You can get DVDs from Europe that have not been cut (I'm not talking about X-rated stuff, just episodes of TV series have not been shortened to accommodate US commercial breaks), and the cost of DVDs is usually comparable or even cheaper (you escape VAT but have to pay international shipping). The only downside that I find is that it seems to be impossible to buy used DVDs from European branches of Amazon Marketplace - if anyone knows why and can suggest a work-around, please enlighten me!