This is the first time I've used the Sky Store, and to be honest I'm only there because we got a free voucher. But this seemed like a good price for the handful of people who don't have Lost already. It's still £30+ everywhere else. The download is available immediately, the DVD's are posted within 14 days.
Please note I don't know whether you need to be a Sky subscriber to get this, if anyone knows can they add a note to the deal? I also don't know whether it'll be a proper retail box set or something specific to Sky.