Two of the BEST Treasures sets came from Wave Three:
Walt Disney Treasures: On the Front Lines - quite simply, this is ESSENTIAL for anyone who wants to have at least one Treasures set in their collection. The shorts here are amazing, even if propogandic, but still entertaining.
Walt Disney Treasures: Tomorrowland - It's just part of the scifi geek in me.
I originally only planned on getting the Donald Treasures (and yet I still don't have Chrono Volume 2), but decided to get those that interested me as well, which is how I got Tomorrowland, On the Front Lines, and Complete Pluto (though that was more of an impulse buy). I'd love to have all the waves, but I doubt stuff like Mickey Mouse Club or Legendary Heroes will get much playability out of me, while Mickey Mouse shorts or Disneyland episodes will. It's more on a "if I see it at a good price, online or in a rare find at a store, I'll get it". Given the fact that many from Wave 1 and 2 are getting extremely high in price these days, I most likely will not get those until I've got a bigger wallet. Right now, my main priority Treasures-wise with what's available is getting Donald Volume 2, Rarities, and the forthcoming Your Host, Walt Disney and Hardy Boys.
Anyways, as for where to get them:
Wal-Mart: They don't usually stock them, though I've noticed that during holiday seasons, not only will they have the current wave, but sometimes have sets from previous waves (though stuff from Waves 1 and 2 are getting rare to find in brick-and-mortar stores)
Target: I've hardly ever seen a Treasures set at Target beyond the holiday seasons.
Sam Goody, FYE, and other Music/Movie stores: They will usually have the current wave, and maybe a few copies of the previous wave, but it's rare to find anything from Waves 1, 2, and 3 these days.
Best Buy: Will always have waves in stock, but I've noticed only stuff from waves 3 to now, though not complete waves. Best place for best prices when not in holiday season (they always seem to have them for $24.99)
Sam's Club/CostCo/BJ's/wholesale places: Usually will have the new wave for the holiday season, but come February, they're usually gone (gone as in sent back to make room for new releases, not gone as in everyone bought their stock)
GameStop/EB Games/Video Game Stores: Hard to believe, but sometimes I come across Treasures sets here. Of course, with my luck, it's always a treasure set I already have, so there's no point in buying another copy.
Pawn Shops: There's not many in my town, and I haven't been to them, but you may get lucky.
Online: Be extremely careful on e-bay and Amazon Marketplace. Best place I can recommend for buying authentic treasures is the UD Trade Forum, where you at least have some sense of knowing who you're trading/buying/selling with.
Escapay