I am a big fan of Lost. It has beautiful scenery, wonderful, well-paced storytelling, an incredibly compelling plot and some terrific acting. It always keeps me guessing and often surprises me. Many of its concepts ("The Others", "Constants") seem to be destined to become cultural symbols like "Big Brother" and "Room 101" from 1984 (it always used to amuse me when the TV shows of these names were on at the same time in the UK - what would George Orwell have thought about that?).
Lost's most notable feature, though, might be that it is (as far as I can tell) the most complex story ever told. Most fictional television shows (like Star Trek and Buffy the Vampire Slayer) tell a story of the course of an episode or two - the only point of the continuity is to avoid having to introduce all the characters for each story. But you can't really watch a single episode of Lost outside of the context of the show and have it make much sense. Nothing ever seems to happen on the show without a reason - every detail seems to have some purpose (even if isn't revealed until much later in the story).
Most novels seem to take 2-4 hours to tell on screen, and even multi-novel series like Harry Potter or the Belgariad/Malloreon are at most only 8-10 times as complex as this. "War and Peace" was made into a 7 hour film. "Lord of the Rings" was a little over 11 hours in total for the extended editions. Wagner's "Ring Cycle" is about 15 hours. Lost will be about 85 hours (without adverts) by the time it is finished. The only thing that even comes close is Babylon 5 at 77 hours, and much of that consists of standalone episodes.
I'm not counting soap operas or the Xanth series (a guilty pleasure of my youth) here because these are really separate stories that happen to occur in the same setting, involving overlapping subsets of characters, without an overall story arc.
Metal Gear Solid franchise - about 80 - 120 hours, and one intertwined story.