It took a few years for a DVD to hit the US, but now Sex Is Comedy, a fictional play on the making of Fat Girl with Anne Parillaud essentially playing Catherine Breillat, is a nice and easy one. It was finally released here in the US by MGM in 2005. It's a top quality, anamorphic widescreen transfer, albeit with no extra features. You may notice through the course of this blog, that Breillat extras are pretty rare - especially in English - making them all the more valuable when they are included.
Anyway, I personally picked up the UK edition from Artificial Eye, because it came out well before the MGM disc and so, for a long time, was the only way to see this film in English. But both editions are essentially the same: top-notch transfers and nothing more, so now it's really just down to the question of your preference between NTSC R1 or PAL R2.
Oh, and the the French Éditions Montparnasse edition (sold seperately or in the boxed set - and as always, with no English subtitles) is also an anamorphic, widescreen transfer with no features. Perhaps Breillat and/or the studios already consider the entire film to be an extra in and of itself, so didn't feel the need to add anything more? :P