Well, typically folks find out of DVD releases checking sites (like I mainly check Amazon and TV Shows On DVD -- thus I tend to be up on what's coming).
But yes, Captain N has been released on DVD (Seasons 1 & 2 together, and Season 3 released with Super Mario World cartoon).
The only drawbacks are the popular songs used in Season 1 have been replaced with simple music; and the ep. "When Mother Brain Rules" is absent.

