Commercial DVD case cover art is printed on coated paper using an offset press. This is normally economical only for very large runs, due to setup charges. I have experimented with coated paper in laserprinters, with poor results. You can get very nice paper for color laserprinters, but it costs quite a bit, as much as $0.50 to $1.00 per page depending on quantity.
You can buy die-cut paper for many things, and I’d assume there is an A4 size sheet with the cuts pre-scored so you can get the correct size for the DVD cover insert without using the paper cutter. Such sheets are often more expensive than you’d like to pay, though.