NOTE: I am dealing with Ubuntu SERVER here, not desktop, so instead of do-release-update the desktop version may be something else.
This topic helps with two things. One is to upgrade an old Ubuntu release to a new release, and by old I mean one that is no longer supported. Keep in mind that if say 9.04 is unsupported, but 9.10 is still supported, you can simply do the do-release-update. This doc helps when both 9.04 and 9.10 and above are EOL (end of life). Second is to maintain the use of an old Ubuntu distro even after its repositories stop working. Basically if you don't install the LTS (Long Term Support) release of Ubuntu then your distro is only supported for about a year. After that year all your repositories (using apt-get) fail and cannot be found. This is because Ubuntu archives the old repositories to a different URL. You don't actually have to upgrade your old Ubuntu distro, and you can continue to use it and its repos, you just have to switch to the new repo URL's. See below.
Upgrading Ubuntu Server 9.04 to 10.04 LTS after End of Life has been reached for both 9.04 and 9.10
In other words, the sudo do-release-upgrade does not work anymore, it sais: An Upgrade from 'jaunty' to 'lucid' is not supported with this tool, because both 9.04 and 9.10 are EOL.
This Ubuntu Document explains the process nicely https://help.ubuntu.com/community/EOLUpgrades and this one, is specifically for 9.04 to 9.10 https://help.ubuntu.com/community/EOLUpgrades/Jaunty
This actually didn't work for me, still get a 'Upgrade from Jaunty to Lucid is not supported by this tool'
Since the above didn't work I just did it the debian way (this did work):
If you get errors finding the old-releases, try archive.ubuntu.com too. I believe old distros goto archive.ubuntu.com first and then on to old-releases later
Please make sure you have the following sources.list, change CODENAME to your release, e.g. breezy or jaunty...(see here for list)
## EOL upgrade sources.list
deb http://old-releases.ubuntu.com/ubuntu/ CODENAME main restricted universe multiverse
deb http://old-releases.ubuntu.com/ubuntu/ CODENAME-updates main restricted universe multiverse
deb http://old-releases.ubuntu.com/ubuntu/ CODENAME-security main restricted universe multiverse
#deb http://old-releases.ubuntu.com/ubuntu/ CODENAME-backports main restricted universe multiverse