Thought this would be a good idea considering some of us are a bit iffy about ordering US-only release stuff over the internet. There is an option - Import stores. I figured it would be a good idea to have a topic here in which Al fans in Australia could point out locations of various import shops around Australia, thereby making our Al-shopping a little easier. I'm hoping that we'll all be able to help this list to grow over time, as it is beginning with only one store.
121 Elizabeth Street
Melbourne VIC 3000
Minotaur has excellent service instore, and almost always have a copy of the UHF DVD (Region 1) in stock. Failing that, they will be happy to order a copy in for you. They will also ship to anywhere throughout Australia.
That's it for now. If you know of other places that stock imported Weird Al stuff, be sure to add its details to this topic! Happy purchasing!