Yeah, I'm pretty pissed about that because I never got the chance to buy the first season (I held off until they released them as single-sided, but then I never got to it). Stupid Sony.
eBay and Amazon Marketplace are your best bet for the first season, but it'll cost you a few pretty pennies.
Last year, when I decided to watch Farscape for the first time, I bought Starburst Vols. 2 & 3 over eBay, but I couldn't find Vol. 1 anywhere, so I had to buy the DVDs that just had 2 episodes each, so I could watch the first third of season 1. The season set of season 1 was $300.00 if I remember correctly. I think I paid 80 for Vol. 2 and 50 for Vol. 3. I can't remember how much the other Season 1 episodes were.