Depends on what you're after. As I recall, there's only a few Floyd box sets which don't cover all the material. Apparently the last compilation to come out was very good and flowing but for max effect, especially Floyd, just go get The Wall, Dark Side, etc. Those must be heard in their original form to be completely appreciated.
Now, if you're into Zepplin or Genesis there are sets that have all their works and lots of stuff that never made it to the records. That's cool stuff.