That's true. They come individually sealed in little boxes and you don't know which you are getting until you open it. If you want to be guaranteed to get them all you can buy a case, which comes with two sets of figures, one chaser figure and one or two extra figures.
The larger ones come in boxes with windows on the front so you can see which of those you are getting.
Be warned, though - they are very addicitive! We got a couple of the first Park series, all of the Urban Series 1, and are considering buying a case of the Park Series 2 when they come out.