Does anyone know if there is a book with all X-Men comics, like a collaboration of all of them?

I know my question is very vague, but fitting my complex question into 110 characters wasn't easy. Anyway, I've been talking about getting back into comics for a while now, but I want to do it the right way, from beginning to end. A couple of my friends have told me that Marvel, DC, etc have compiled their comics, in order, into I guess what would be considered graphic novels. I would like to know whether or not their statements are true, for any comics not just X-Men. Also, if it is true I would like to know where could I find them.