American Horror Story (2011– )
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Yes, seasons 1-5 are available to own on DVD, Blu-ray and digital download. Season 6 is currently airing.
The Complete First Season was released in both DVD and Blu-ray formats on September 25th, 2012.
The Complete Second Season: Asylum was released in both DVD and Blu-ray formats on October 8th, 2013.
The Complete Third Season: Coven was released in both DVD and Blu-ray formats on October 7th, 2014.
The Complete Fourth Season: Freak Show was released in both DVD and Blu-ray formats on October 6th, 2015.
The Complete Fifth Season: Hotel was released in both DVD and Blu-ray formats on October 4th, 2016.
Episodes from seasons 1-5 can be digitally downloaded from iTunes and Amazon. Episodes from season 6 will be available after they air. Edit
Yes. Seasons are self contained stories with a largely stable cast of actors playing different roles in different settings. There's serval easter eggs and connections between seasons because they all develop in the same universe, but they don't affect the history in any way and it's understandable without having to previous ones.
Season four features some minor connections between the seasons. The minor character Pepper from Asylum is one of the performers in Freak Show and we eventually get an episode showing how she ended up institutionalized.
Season five has stronger connections to other seasons. First, it seems to take place in the same universe as Murder House, with ghosts who follow the same rules. This is confirmed late in the season when a minor character from Murder House appears in Hotel. We also get a cameo by a character from Coven, which implies that seasons one, three, and five, all take place in the same universe. Edit
The various seasons are
Season 1: "Murder House". Set in contemporary Los Angeles, it involves a family which moves into a house inhabited by ghosts.
Season 2: "Asylum" is set in a mental hospital in 1964 Massachusetts.
Season 3: "Coven" is set in contemporary New Orleans and deals with an academy for young witches.
Season 4: "Freak Show" is set at a carnival in 1950s Florida.
Season 5: "Hotel" is set in contemporary Los Angeles and explores the mysterious residents of the Hotel Cortez. Edit
The Hotel Cortez is very loosely based on the Cecil Hotel, in downtown Los Angeles. The hotel became briefly famous in 2013 when it was discovered that the body of Canadian tourist Elisa Lam had been decomposing inside the hotel's water tank for over a month. Previously, the Cecil had been used as a residence by serial killers Richard "Night Stalker" Ramirez and Jack Unterweger, although neither of them is known to have committed any crimes at the hotel.
The fifth season features appearances by several other serial killers, mostly in James March's parties. In addition to Ramirez, these include Aileen Wournos, Jeffrey Dahmer, John Wayne Gacy, and the Zodiac killer. Edit