This is where torrents come in handy. It's amazing how easy it is to grab a whole season of a show in 720p (if it's just aired) or 1080p (if the Blu-ray set is out). Yesterday I torrented season 3 of Downton Abbey - it won't even air (in the US) until January! I use Anigrate[0] to keep track of which shows I've watched.

0: http://anigrate.glacicle.org/