Urotsukidojo I: Legend of the Overfiend
Urotsukidoji II: Legend of the Demon Womb
Urotsukidoji III The Return of the Overfiend
Urotsukidjo IV: Inferno Road
Each of these sets have their own individual DVD, which you do not need.
Perfect Collection:
This set has the original Urotsukidoji. It has Volume 1 (Legend of the Overfiend), and Volume 2 (Legend of the Demon Womb). Together they add up to five episodes, which tell the beginning of the story.
Hell On Earth Collection:
This contains the first two volumes from The Perfect Collection, but it's heavily edited. (Almost one hour of material was cut.) But it also contains the OVA versions of III and VI.
Technically speaking, Hell on Earth has everything, (volumes 1, 2, 3, 4) in one box set. If you don't mind dub-only and cut material, this version will save you money.
I recommend The Perfect Collection, and the independant releases of Urotsukidoji III, and IV: Inferno Road. That way, you get to see the original 2 volumes unedited, and then volumes 3 and 4.
Licensed by CPM are:
Urotsukidoji manga
Urotsukidoji OVA
Urotsukidoji: Legend of the Overfiend movie (compilation)
On BakaBT we have also
Urotsukidoji - New Saga. Seems to be a remake.
But this whole CPM licensing thing and the different releases is a bit of a mess.