If you want to have the most complete collection of OFFICIAL DVD releases, you need:
A. Quadrilogy - 9 discs set. The 2-discs movies were released separately in standard cases too, but you cannot buy the 9th disc alone. It contains the bonuses from A1 and A2 laserdiscs, many trailers etc.
A. Saga - see above. Not a part of any set. Not now, not never. Fantastic camera tests with Sigourney (a short example of these you can find in AQ), an interesting main feature narrated by "Kane". Personally, I like this DVD more than AQ bonuses.
A. Legacy - 5 discs set. Again, you can buy these separately. The 5th disc is packed in A1 case in UK (YOUR PHOTO), no matter if you buy A1 separately or in the set. In USA it was a "mail-to-Fox" bonus for the owners of this box (i.e. there are only 4 discs in the set in USA and you must ask for the 5th). US VHS version of AL box contains the content of the 5th disc on a separate videotape. In UK, you can find a 2nd edition of this bonus disc released as a promo DVD announcing the release of Quadrilogy (that is why this 2nd edition contains an AQ trailer as a bonus). The first edition does contain no bonuses, just the main feature, a 65 mins A1 retrospective - interviews with Dan O'Bannon, Ridley Scott, unused shots etc. The main feature's name is ALIEN LEGACY and thus it gave a name to the whole set and vice versa. If you do not want to buy both AQ and AL, you still need the disc 5 and I recommend also discs 1 and 2 at least. Disc 1 (i.e. A1) contains an unique audio track not used in AQ again, disc 2 (i.e. A2) has the nicest DVD menu I ever saw and some minor extras not repeated in AQ (not 100% sure, I did not compare them for a long time). Disc 3 is priceless and disc 4 contains a short Making of Resurrection not included on AQ.
Plus, of course, either UK 2-discs AvP or US Unrated AvP.
And before you ask: The people here are talking about A. Evolution - this documentary is not on any official disc yet. You can find a shortened edit on AQ disc 9.