Updates are on line - upgrades are paid for. Once you've installed the upgrade, you can update to the latest version either by visiting Support Downloads or using Software Udate.
Up to Snow Leopard, all new upgrades were on DVD. Lion and ML are downloads from the Mac App Store, which you need SL 10.6.6 or above to get.
Snow Leopard DVD:
You can get it only by phone now from Apple.
In the US, call 1-800-MY-APPLE and ask for a sales assistant. Last quoted price was $19.99 for the single-user and $29.99 for the family licence.
For other countries, check here; http://support.apple.com/kb/HE57
Don't forget to ask for Sales; the tech support guys can't help.
When you've installed SL it will be 10.6.3. You need to update that to 10.6.8 with the combo installer from http://support.apple.com/kb/DL1399