Whether you are looking for the 1943 serial movie, the Burton/Schumacher quartet, or the more recent Nolan trilogy, the best options are either eBay or Amazon. You can buy each boxed set individually, but there are no official sets of all the films together.
Batman is a franchise notable for its reboots and remakes. Even ignoring the many animated movies and TV show spin-offs, there have been several different film series of varying qualities, with different directors and actors. For this reason, there is no single "Batman movie set," as the different series have little to do with each other.
Other online options include Bestdvdentertainmentstore, shop.com, Target, and Walmart, the latter two of which also sell the movies in-store. Search by the exact name of each movie or series, the lead actors, or the director. This information can be found on sites like IMDB.com.