No, but there was an episode that was designed as a season closer (but not filmed) where they had a choice as to whether to stay in the realm or go home. Intro (with link to script) here: http://www.mindspring.com/%7Emichaelreaves/D&Dpreface.html
all of dungeons and dragons is available on dvd(i have them). yes they did a few times but had to return to the realm for various reasons. eg eric being turned into a frog-man.