Probably the single most widely used distribution is still the Slackware release, available freely over the net. Slackware is easy to install and fairly complete. It's also generally up-to-date with current versions of Linux software. The Linux Installation HOWTO documents the installation of Slackware.
A few other distributions (including Yggdrasil and Red Hat) are available for FTP from the home sites of their developers. But if you have a CD-ROM drive, you will have many more distributions and more support options to choose from (and you'll usually get some useful paper documentation).
Even network-available distributions are much easier to load and administer from CD-ROM. And some distributions, such as Slackware Pro, Red Hat Linux, and Yggdrasil take advantage of the storage space available on CD-ROM to minimize the amount of hard disk space Linux takes, by creating symlinks from the hard disk back to the CD-ROM.
There are three tiers in the Linux CD-ROM market. The top tier consists of primary distribution builders (such as Yggdrasil, Red Hat, WGS, and Craftworks). These people add substantial value to Linux, often including custom administration/installation tools, bound documentation, and availability of technical support contracts.
The bottom tier consists or redistributors and publishers who simply shovel Slackware or some other network-available distribution onto a CD-ROM and re-sell it with zero or minimal documentation and support.
The middle tier is harder to define; it consists of re-packagers who add some value without actually building and maintaining their own primary distributions.
One thing that does not distinguish these tiers much is price. Prices for CD-ROM distributions start at $20 and top out at a whole $50. Many vendors sell subscription deals that will lower your cost-per-CD for regular updates over the subscription period.