It took me ages to be able to buy the box sets of Futurama, but I know that when I was just starting my collection, this would have been mega useful.
These really are four of the best episodes of the show, including what many believe to be .the. best episode, Roswell that ends well. Due to Fry's idiocies, the team are sent back in time, where the entire Roswell incident of 1949 (or whenever it was) turns out to be their doing.
Anthology of Interest I gives some short stories, usually based on classic tales. Think Simpsons Treehouse of Horror episodes.
The Sting is a wonderful psychological number, it'll twist your head around, but watch it twice and you'll see that a pattern does emerge to support the final conclusion.
The last episode (or first, depending on which way you look at things) is Hell Is Other Robots. Bender becomes an addict of "jacking in (essentially electrocuting himself)" and goes to robot hell, where there is a very entertaining musical number. The Beastie Boys also remix the closing credits.
The menus on this DVD are fantastic, fully animated and beautiful. There are numerous Easter Eggs to find, but the shown goodies are much sweeter. There is also an exclusive commentary on this DVD, that you won't find on the boxsets, as well as an exclusive animatic (the rough draft for the episode) for Hell is Other Robots.
This is a great collection of Futurama highs, and if you buy it you really won't be disappointed. Jokes come thick and fast, and to fully appreciate each one you will need to see it more than once!