I know - it seems crazy that one hasn`t been released. It was a fantastic series (better than the movies, imo). I think they`ll get round to releasing it eventually - probably in "season" boxsets (so 5 altogether).
There are various episodes already released on DVD:
"The Phoenix Saga" (R2)
"The Legend Of Wolverine" (R2)
"Wolverine`s Story" (R2)
"Sanctuary/Proteus/Weapon X" (R1)
"Reunion/Out Of The Past.." (R1)
Plus the entires first season of "X-Men: Evolution", which is pretty good too! :)