The full season is already available for purchase (my brother got it for me for Christmas). Yes, it is cheaper than buying all individual episodes. Even if you buy the whole season, you still do have to wait a month between episodes and at the end of the season they send it all to you on disc (presumably boxed). I think you have to pay shipping, though, so you have to decide if it's worth getting a boxed copy of a game you already finished by then.
I've played through the first two episodes (I'm guessing the third will be available soon if not already - I've been kinda busy). I like them so far. They're kind of short-ish. But avoiding looking up a walkthrough on GameFAQs for adventure games (which was starting to become a habit >_>), the length becomes decent for the price, IMO. And it's Sam & Max, so it's cool. (Minor gripe: I don't like how they changed voice actors for Max between the two episodes, because one of my favourite lines in the first episode (Sam looks at some nachos named "Not'Chos", and Max says, "They're mine, not'chos!") wasn't delivered in quite the same way when it was rerecorded. >_< Oh well.)
I said it before, though...the relative lack of storage on the Wii makes it difficult. I suppose if WiiConnect24 could download games in standby mode and everyone could be expected to have several SD cards of decent size, then maybe they could bring Sam & Max right over pretty much as is. Of course, I personally would like something new, or different from the episodes I'm already playing on the PC.