imo, they aren't that badly priced compared to movies on dvd. $10-20 for a 2 hour movie vs. $40 for 22 1 hour (okay, 48 minutes without ads) episodes of a show = advantage: TV on dvd. It's just a lot to shell out in one sitting.
Lately I've been disillusioned with buying movies on dvd anyway. There will always be a special edition coming out in 6 months and the technology itself is going to be kicked to the curb soon enough anyway. At least I know that there won't be a special edition West Wing Season 1 coming anytime soon.
Edit: Although there are exceptions -- HBO shows are often a lot more expensive than I want to spend (like the Sopranos, for instance).