Line Of Duty: Series 1-3 [DVD] £16.99 (Prime) or £18.98 Non-Prime or free delivery if you spend £20 @ Amazon.
As far as I can see the set is not available on Blu-Ray and the cheapest I can find for the individual seasons is as follows:
Season 1: £7.99 @ Amazon
Season 2: £7.65 @ Amazon
Season 3: £10.99 @ Amazon
Seasons 1 & 2 Boxset: £12.99 @ Amazon
Although all the above prices are from Amazon I have checked various retailers and Amazon is the cheapest I can find on-line at the moment.