Answering the mean is much easier, so we'll start with that. Let's go through it step by step:
The first spin is definitely going to be a new number.
The second spin will have a probability of 36/37 of being a new number. If an event has a probability of p, then the expected number of trials for it to occur is 1/p. In this case, the expected number of trials to get the second number is 37/36 = 1.0278.
After two numbers have been observed, the probability that the next spin will result in a new number is 35/37. Thus, the expected number of spins after the second number to see the third is 37/35 = 1.0571.
Following this logic, the average number of spins to see every number is 1 + 37/36 + 37/35 + 37/34 + ... + 37/2 + 37/1 = 155.458690.
The median is much more complicated. To find the exact answer, as opposed to using a random simulation, one needs to use a lot of matrix Algebra. I've discussed how to solve similar problems in other Ask the Wizard questions, so I won't go through the details again. One example of a similar question is the one on getting a 6-6 pair in the hole three times in a row, as discussed in Ask the Wizard #311. Suffice it to say that the probability of seeing every number in 145 spins is 0.49161779, and in 146 spins is 0.501522154. Thus, the median is 146.
This question is asked and discussed in my forum at Wizard of Vegas.