Yes, major Linux distributions already ship KDE. As building a distribution takes some time, they might not always contain the latest version, but for a start or to avoid downloading from the Internet, they do provide a good starting point.
Below are some of the distributions we know to ship KDE. You can find an up-to-date list of distributions that ship with KDE at the KDE Distribution List.
In addition, some computer magazines are available with a CD containing KDE: