I just got introduced to Stott Pilates via some workshops and really, really like it. The only DVD I have of theirs is the Sunrise Workout. It's really good, but gentle and easy for first thing in the morning.

I like the Living Arts/Gaiam DVDs, but they don't have near as much instructional detail as Stott.

I guess my answer would depend a lot on what kind of training your instructor has. The more you're getting in your classes, the less specific your DVDs will need to be.