I'm not keen on buying episodes digitally, but I've never heard of any store selling them drm-free...
Your best options are buying DVD or Blu-ray packs, they are very cheap per episode when you do the math.
Also, if you're looking for TV shows before 2000, don't expect much video or audio quality to be available above the already released DVD edition, like Friends, Seinfeld, etc the DVD standard is the best you'll probably get in terms of PQ/AQ.
I vote for Blu-ray;
but regularly you can get the DVD for half the price of the BD, on a per season basis. I tend to balance it according to the action-ness of the TV show: Band of Brothers get the BD, Seinfeld get the DVD.