Get the DVD!
If you don't know much about Bob Dylan and/or are unfamiliar with his music and life, refer to my earlier posts for some CDs and movies to listen to and watch before seeing I'm Not There.
The extras on Disc 2 do a great job of explaining the film, and Disc 1 (the film) has an audio commentary track as well. The review of the DVD at DVD Talk gets it right.
I also purchased the 2-CD soundtrack. Some argue that it's not a true "soundtrack," since Dylan does only one of the songs, whereas the movie used clips of Dylan for many of the songs that on the "soundtrack" are performed in full by others. That, to me, is a small quibble, and if you like the movie, I think you'll equally like the soundtrack CD.
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I recently bought the (remastered) CDs of "Blonde On Blonde" and "Blood On The Tracks."