So far I just see the indivdual episodes too on amazon (searched for Mister Rogers' Neighborhood).
Fun Mister Rogers' trivia...
I went to college in Pittsburgh and took a children's psych class where we had a dif't guest speaker every week. One week it was one of the producers for MRN. She told us to always be careful driving down the big, busy street near the PBS studio because MR always jay-walked there. :)