1. LOST (I can't say enough how great this show is.)
2. Battlestar Galactica 2003. Shockingly good.
3. Doctor Who 2004 (Brilliant before it went downhill. Peaked around 2010, where it was incredibly epic. )
4. Buffy The Vampire Slayer. (Used to be my #1. Very uneven show, but occasionally brilliant beyond description. The first season looks very low budget. The show doesn't really get great until about midway into season 2.)
5. Babylon 5. (Epic.)
6. Star Trek various. I really like Enterprise and Deep Space 9.
These series benefit from having storylines that span multiple seasons, and in the case of LOST, the entire series. There aren't many standalone episodes. The shows are serial and need to be watched in sequence to fully understand them. It is a trend that started in the 90's with Babylon 5, and to a lesser extent Star Trek Deep Space Nine. However, this kind of story telling hit high gear in the 2000's with LOST, Battlestar Galactica, and Doctor Who. When Doctor Who was at its peak, it had storylines that would span 2 to 3 seasons.