Recently I bought the 2CD+DVD The Travelling Wilburys Collection. I had Volume 1 from earlier, but never got Volume 3.
The DVD contains a short documentary about the creation of Volume 1 and also the videos the group made.
The clip where they are arriving at the cabin they recorded the first album in - Tom Petty in a Corvette and Bob Dylan in an old van - is worth the entire price.
Seemed like they had fun - and it was interesting to get confirmed that Tweeter and The Monkey Man was Bob+Petty and Congratulations all Bob. Sounds exactly like that.
The two cds has a couple of bonus tracks each. You can easily hear why some of them were not included on the original albums, but some of them are interesting.