I don't really watch many current shows, since all I watch are sports and movies. I do catch up with things On Demand, though.
Mad Men
Breaking Bad (did watch the last season live on AMC after buying the previous season on DVD)
Sons of Anarchy (watched the last season live after catching up on Netflix)
Louie
Arrested Development
Lost
Walking Dead
The League
It's Always Sunny
The Wire (only show I was actually a bit sad ended it's run with a finale, and my favorite TV show of all time)
Family Guy
Simpsons (prior to about 2002)
I started watching True Blood On Demand from Season One last week, but I'm not sure it's for me.