Ghost in the Shell is probably the most believable and thoughtful cyberpunk series I've seen. It has a great long term story-line, with philosophical overtones worthy of Phillip K. Dick.
Full Metal Alchemist, while it has campy moments, also has a really good, if disturbing, long term story-line. Today's episode was so totally engrossing that I just about wanted to throw things at the TV when it ended. Grrr. Gotta wait for the next episode next week.
Speaking of wanting to throw stuff at the TV, the Sci-Fi channel season finale for Battlestar Galactica was just plain evil. Grr. And I have to wait until July for the next episode there. Grrrr!
I guess I just go for shows with good long story arcs.