You'll have to pay for the other expansions. ALTHOUGH they do update the retail discs. For example if you go buy the new WoTLK bundles you'll get a vanilla WoW disc and a WoTLK disc. But the WoTLK disc contains the Burning Crusade data as well.
It works the same way if you download the xpacs from Blizzard directly. You can download vanilla WoW, skip Burning Crusade, (but you still have to pay for it) download WoTLK, patch and you'll be good to go.
If anything just to make your life easier, I'd reccomend buying only vanilla WoW in disc form form a retailer. Then just pay to upgrade your account to WoTLK (or Cataclysm) status and proceed to download them from Blizzard. Each xpac is only a couple gigs and Blizzards launcher runs pretty quickly so you'll have em in no time.