I don't understand buying DVD sets of shows that are already available online on sites such as Hulu - like Arrested Development or It's Always Sunny in Philadelphia. Great shows, no doubt, but why buy the cow when you can get the milk for free?
Anyway, if you haven't already seen 'em yet, try -
Twin Peaks
The Wire
Freaks and Geeks
Mad Men
Entourage
1st season of Deadwood