Reading whole books off the screen is fine for some people, but some folks would rather have print-on-paper. It is possible to print out whole books from the Internet from many of the classics sites, but the cost of ink cartridges and paper for your computer printer will almost certainly be prohibitive. It's almost always cheaper just to buy the books, and you get better quality printing and binding than you are likely to be able to do yourself. So where is this leading?
It's leading to a tip on the most complete and reasonably priced print-on-paper English language classics library available, the Loeb Classical Library. Books are uniformly bound (all books are the same size, but different series are different colors) and printed in the same format: English translations facing equivalent pages in the original languages. Translations are highest quality by the best scholars in the field. New editions of existing titles have been updated to modern English and to include more recent scholarship. Sections that were changed in earlier editions to reflect more prudish norms of past times have been replaced with more direct and accurate translations. The library has stood the test of time -- the first volumes were published in 1912, and publication of additional volumes and re-edited older volumes still continues.
Each volume costs $19.95 whether purchased at major university bookstores or on the Internet. There are now approximately five hundred volumes in print (from Accius to Xeno), so you can have the whole set for about ten thousand dollars. Picking and choosing for $20 each (a real bargain in today's hardcover book market) is what I do.
The international publisher and US distributor of the Loeb Classical Library is the Harvard University Press. You can get lots of information about the series at their Internet site, http://www.hup.harvard.edu/Web_Loeb/Loeb.home.page.html, but they encourage you to buy elsewhere. The major online booksellers all seem to have many of the volumes in stock, but Barnes and Noble is the only one that appears to stock the whole series.
Online bookseller links for Loeb Classics:
Barnes and Noble: http://shop.barnesandnoble.com/booksearch/results.asp?userid=4LMCAB9NLX&mscssid=&srefer=&WRD=loeb+classical&OPR=A&SRT=S&SAT=1
Amazon (US): http://www.amazon.com/exec/obidos/search-handle-url/index=books&field-keywords=%20%20loeb&bq=1/ref=aps_more_b_2/002-5658517-5437009
Amazon (UK): http://www.amazon.co.uk/exec/obidos/query/%28keyword%20%3D%20%22loeb%20classical%22%29/book/bq=1/026-1728187-0109231(Faster and cheaper if you don't have military or embassy postal privileges, but they only list 134 of the more popular titles.)