Here's a few great series I completely missed on TV the first time round and have since watched on DVD, sometimes in rapid accession!
Arrested Development (2003)
Without a doubt the funniest series (all three of them) I have ever watched. Great cast, brilliant script/story. I highly recommend this show. Check out my links (to the side of this) to watch an episode online.
Battlestar Galactica (2003)
A remake of the 70's sci-fi series, this time the evil Cylon's look like regular people (some look pretty hot too!) and believe they are the next step in mans evolution. I've seen the first two seasons, can't wait for the third to be released on DVD.
Lost (2004)
Believe it or not I missed the first season of Lost, probably due to the weird reviews I heard after the pilot was shown. I was lent the season boxset and the rest is history. I managed to watch the entire first season and 4 episodes of season two in just 6 days! That was intense, have you ever had Lost dreams? I have!
I wasn't too sure about series three but near the end things really picked up. As the writers now know whats happening and how its all going to end the next few seasons should be very interesting.