Sonic the Hedgehog TV Show & Animated Media Main
The early shows have VHS tapes you could get, then on to DVDs for the rest. Some shows have box sets, while others, like Sonic X are sometimes re-released. The pages linked here attempt to catalog all the various ways each show was released as a physical item (media) that you could collect.
The pages are divided by show. If you're looking to buy the media, the Sonic Gear Store usually has some of the sets available too (see below) since this area is only a showcase.
Saturday Morning Sonic the Hedgehog SATAM
Sonic Boom (has no media yet 2016)