The British sets have extras . . .
I watched all of the Avengers episodes a few years ago (start to finish, in DVD order. Yes, took a while). I don't remember any extras in the entire lot (okay, so they put what is left of season 1 in with the Diana Rigg episodes and included the first of a two part episode of the New Avengers).
I recently bought The Avengers Series 2 from England (we use "season"; they use "series"--and yes, they use series where we use series also--so The Avenger series lasted six series). Series 2 also had the remains of series 1. Several episodes had commentary (including the first episode of the first season--very interesting info). There were interviews included, e.g., with Honor and intros to a couple from Julie Stevens (and more).
I've ordered Series 3, and it has a list of extras I'm looking forward to. I'll get to Series 4 thereafter, which also has listed a handful of extras (even includes an episode of a show Diana did just prior to The Avengers). Hopefully they'll have fixed Series 5 by then (that's another story). And the Linda Thorson (series 6) will be out early Dec 2010. I know she does some recent stuff on her's also, and they'll have extras.
Why don't we have these extras available in the US? I think I read it is because A&E has the rights in the US, but no interest in the show. A British company has the rights for the rest of the world, and interest in the show.
I attempted to get them from amazon.co.uk but ended up getting them from ebay.co.uk (specifically SODVDS.co.uk, if anyone cares). I've got an all-region DVD player (got it from Amazon.com) permitting me to play these region 2 DVDs.
Just though fans might like to know that there are extras to be found. And some of the information in common circulation about the series is incorrect. Some of the commentaries disagree with other commentaries (they're remembering 40-50 years ago, and they may be remembering rumors or secondhand info). It's all still interesting.