I was at the Gates in New York, and based on that great experience I viewed a few of these DVD's as rentals.
I have only seen the Valley Curtain and Running Fence films, but based on that I am ordering the set to keep. The films themselves of course are a little dated and not perfect transfers by any means, as they are older films made with older equipment and not a lot of effort was made to improve the video quality over the original material. But the original film work itself is very well done (even in sometime very challenging conditions) and the director did a great job capturing the essence of what it is to put up these projects that operate on such a large scale. The Running Fence one was especially good in this regard as it covered a number of public hearings and talks with the ranchers involved well before any construction showing people arguing against the projects.
However that is not the best part of these films. The best part is the commentary tracks which seem to have all been done in 2004 (sometime just before the Gates opened), and include Jeanne-Claude, Christo, and the film maker himself. All of them are very interesting and have a lot to say throughout the film, including a lot of information you'll not get from the films alone. As these were all pretty recent commentaries it also allows for much more interesting perspective in commentary as they can compare some aspects of these older works to more recent ones.
For anyone interested in the works of Christo and Jeanne-Claude, this is a must-watch set of films and will give you great insights into their thought process.