I like collections if it saves space, like I have the box set of El Mariachi, Desperdo and Once Upon a Time in Mexico - as the DVD box is a) more attractive and b) slimmer than having the individually, less space on DVD shelf = more space for others, doesn't really work as well for books, though. Unless the writing is smaller so less pages!
+ big books are a bugger to carry around as I take mine to work with me to read (I cycle) so that could lead to heaviness and falling over!
I am reading Science of Discworld at the moment and don't have the other 2 yet, but I'd still get them individually if there was an option.