The standard
Columbia Tri-Star release (first released in 199 and then reissued in 2003 with new cover art) is pretty good in terms of video quality and has a nice selection of bonus features - the "Inside the Labyrinth" documentary, theatrical trailers, talent files and production notes.
The 2003 "SuperBit" release features the film in the best quality possible. There are no extras or bonus features (they are intentionally left off of Superbit discs to utilize the full capacity of the disc to store the best video/audio possible with the minimum amount of digital compression). That's not to say the past releases have horribile video quality (in fact the 1999 DVD is very good quality), but that's the whole point of a SuperBit release.
The 2003 "
Collector's Edition Box Set" (from Columbia Tri-Star) is a pretty good release too. It has all the bonus features from the 1999 release (the "Inside the Labyrinth" documentary, theatrical trailers, talent files and production notes); in addition it has six new photo galleries (Behind the Scenes, Cast, Characters, Concept Art, Vintage Poster Art and Storyboards). Plus there are some character sketch cards, a collector's edition booklet and a limited edition animation cel packed in the case too. If you want the "best" out there, this is it (although it is a bit more money). If you can live with out the cards, booklet and photo galleries go with the standard edition DVD (I've seen it going for around $10 or bundled with two other Henson films for $30)