Current or recent favourites include 24, The Wire, The Sopranos, The Simpsons, Dexter, Deadwood, Family Guy, Curb Your Enthusiasm, Oz.
From bygone days, The Outer Limits and The Twilight Zone are hard to surpass. Rawhide is another great one. Fawlty Towers never disappoints.
Good call on The World at War - the boxed set sits proudly on my shelf, too.
I'm sure there are lots of others that I can't think of right now.