On a recent trip to the USA (Dec 02) I heard repeated over and over an
advertisement on the radio for a set of CDs of the greatest comic
radio moments from history. The advertisement featured a clip where an
outlaw was staging a hold-up, and was clearly being ignored by the
intended victim.
Part of the advert went something like this:
Outlaw: "I SAID, your MONEY or your LIFE!!"
Pause
Victim: "I'm thinking it over!!"

My question is: who was selling this set, is it still available, and
if so, where?

Hi Ludwigludwig,
Thank you for your question.
I believe you are referring to "Old Time Radio All-Time Favorites". 
This collection contains 12 half-hour vintage radio shows on 4 CDs: 
The Lone Ranger "Gold for Maximillian" (3/27/44) Starring Brace Beemer
and John Todd. Suspense "Sorry, Wrong Number" (8/21/43) Starring Agnes
Moorehead. Fibber McGee and Molly (12/30/41) Starring Jim and Marion
Jordan. The Jack Benny Program (11/16/53) Starring Jack Benny. The
Burns and Allen Show (11/7/46) Starring George Burns, Gracie Allen,
and Frank Sinatra. The Edgar Bergen and Charlie McCarthy Show
(9/12/43) Starring Edgar Bergen, Charlie McCarthy, and Humphrey
Bogart. The Screen Director's Playhouse "Saigon" (7/29/49) Starring
Alan Ladd. Dimension X "Shanghaied" (11/12/50) Starring John Sylvester
and William Griffis. Escape! "Snake Doctor" (8/18/49) Starring William
Conrad and Ira Groselle. The Life of Riley (9/3/48) Starring William
Bendix and Red Skelton. The Whistler "A Law of Physics" (6/10/51)
Starring Les Tremayne and Bill Forman. Sergeant Preston of the Yukon
"Caught by a Button" (7/3/43) Starring Jay Michael
The collection is available to buy (new or used) from Amazon:
http://www.amazon.com/exec/obidos/tg/detail/-/1570190054?v=glance
      
Here are some other collections that may also interest you:
"Old Time Radio Comedy Favorites"
http://www.amazon.com/exec/obidos/tg/detail/-/1570190151/ref=pd_sim_books_3/002-3787331-8452812?v=glance&s=books
"The 60 Greatest Old-Time Radio Shows of the 20th Century selected by
Walter Cronkite"
http://www.amazon.com/exec/obidos/tg/detail/-/1570192448/ref=pd_sim_books_1/002-3787331-8452812?v=glance&s=books
"Golden Age of Radio: Comedy Legends" (12 CDs)
http://www.artistdirect.com/store/artist/album/0,,2521782,00.html
http://www.amazon.com/exec/obidos/tg/detail/-/B00008DVBC/ref=pd_luc_mri/002-3787331-8452812?v=glance&s=music&me=ATVPDKIKX0DER&st=*
"Golden Age of Radio: Kings of Comedy"
http://www.amazon.com/exec/obidos/tg/detail/-/B00008DVDS/ref=pd_luc_mri/002-3787331-8452812?v=glance&s=music&me=ATVPDKIKX0DER&st=*
  
The clip you mentioned is from the "The Jack Benny Program" which you
can listen to here:
http://www.dailywav.com/0800/money.wav

   
I hope this helps!
regards,
jackburton-ga
    
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Search terms used:
cd greatest comic
cd "greatest radio"
"money or your life" "thinking it over"
cd "jack benny" radio

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Clarification of Answer by jackburton-ga on 17 Jul 2003 09:18 PDT

My apologies! The "Old Time Radio All-Time Favorites" is not a
collection of comedy broadcasts only and *doesn't* seem to contain the
Jack Benny "Your Money or Your Life?" routine. The collection you're
after is likely to be the "Golden Age of Radio: Comedy Legends" which
comes on 12 CDs, and does contain the Jack Benny clip:
http://www.artistdirect.com/store/artist/album/0,,2521782,00.html 
http://www.amazon.com/exec/obidos/tg/detail/-/B00008DVBC/ref=pd_luc_mri/002-3787331-8452812?v=glance&s=music&me=ATVPDKIKX0DER&st=*
"The 60 Greatest Old-Time Radio Shows of the 20th Century selected by
Walter Cronkite" *also* contains the Jack Benny "Your money or Your
Life?" routine:
http://www.amazon.com/exec/obidos/tg/detail/-/1570192448/ref=pd_sim_books_1/002-3787331-8452812?v=glance&s=books
  
I hope it is one of these!

fantastic! thanks very much. exactly what I was looking for. i have
ordered it from amazon.

Thank you for the 5-star rating and the tip! :)