I clearly remember the first box set I ever bought: Rahsaan Roland Kirk's Mercury Complete Box. It was really good.
The top shelf of my closet is filled with Mosaic and other LP-sized box sets, and recently I discovered a Mosaic box set of Mildred Bailey that I had completely forgotten I had bought. Thank you, past me! Back in the day, Mosaic would send paper catalogs and pamphlets to Japan, and they were a valuable source of information on Jazz at the time. I feel like there was a stronger sense of belonging to the community than there is with social media today.
Nowadays, you can often listen to the audio from CD box sets via music streaming platforms. You don't even need to rip it from a CD anymore. The other day, I found Woody Herman's Mosaic Select at a used CD shop in my neighborhood and bought it in ecstasy, but it is available as The Philips Recordings on many streaming services. In the end, most of the value of box sets today lies in the liner notes, which contain information you can't find anywhere else. However, that would be meaningless unless you're a jazz researcher or enthusiast.