I just received my set yesterday, and I already know it's worth the money. The interviews with show runners, DPs and writers are longer and more extensive than in previous seasons, between 10 and 15 minutes each, for more than half the episodes. This season ends (sort of) with my favorite Xena episode ever: the Ides of March. There are interesting interviews regarding the episode, as well as a cute (if not exactly insightful) commentary by Lucy and Renee. I've only just begun watching the interviews, but there are in-depth discussions of the Convert, Crusader, The Way, Paradise Found and Between the Lines-- all of which are favorites of mine worth a look.
I also like the packaging of this set-- it's not as cumbersome as season three, although there are more discs than ever.
Xena's fourth season is well worth your time and money. Get it!