One of the best ways to pick up daily expressions is watching TV shows, where you have interesting stories (as context) to go with the language. Not all “great” TV shows, however, are appropriate for beginner to intermediate students. Some of my favorite shows might prove quite confusing or even frustrating to some. The speech in “Mad Men” is too 60's; the speed at which people talk on “West Wing” can kill you (not to mention all those political references only some American news junkies can fully appreciate); The Sopranos is full of dialogues heavy in accent and gang slang. The best choices will have to meet my criteria of: 1) relatively standard contemporary speech; 2) not requiring a cultural literacy test prior to viewing!

My advice for choosing from this selection: check out some pilots (the very first episode of each series, if there is one) first, and then pick one series you like best to stick with. Watch a whole season (or all the seasons!) before repeat viewing. On first viewing, no subtitles whatsoever! For the second time on you can turn on the English caption IF you feel it's absolutely necessary. I will argue against any subtitles if you truly wish to improve your listening. To comprehend on your own (and yes, you'll be doing a lot of guessing) is the whole point of “listening” practice. Hang in there and it will get easier as the show goes on. If you wish to work on your speaking, repeat after the dialogues as much as you can. There's no point in learning how to read and write from these shows since they are “spoken” English and not “written”. We have better sources for those skills.
For best results, don't pause or rewind! No matter how many words elude you or how frustrated you get, just sit back and try to enjoy it. To make it short (一言以蔽之

YOYO -ISG is doing “Desperate Housewives” and I think it's a good choice, by the way.
Disclaimer: I was away for two years so haven't caught up with all the latest. I can only recommend from the shows I have watched. If you don't like "serious" shows, try No.2, 5 and 6 first.
OK, here's the list (finally!!!

1. I have originally recommended "This American Life", and then it occurred to me that the availability of it could be an issue. So try this one (you can find some online): "Inside the Actors Studio". Yes, it's live interviews, but pick an actor you like and you will end up liking him or her even better afterwards!
2. Survivor – Reality shows may not be truly real, but at least they are unscritpted! Others such as “Amazing Race” and “American Idol” are good choices too.
3. 60 Minutes – The best and longest running news magazine. The language is almost beside the point. You'll learn about America as a country.
4. The Office (the British original is just as good, but totally different in tone and content, and of course the language) – Biting, smart, insightful. Get a glimpse of what it might be like working in America.
5. Lost – It's part fantasy, part social commentary. Watch and see why Americans were crazy about the show. Other fantasy, Sci-Fi or thriller shows: FlashForward (one word!). Fringe. Heroes. Medium.
6. 30 Rock – Seinfeld and Friends are perhaps better, but they are also older. Being a New Yorker I'm naturally partial to shows set in New York.

7. Dexter – Gruesome to the point of unsettling, it's a show that challenges a lot of our assumptions on morality and justice. An acquired taste. But I put it on the list to promote shows that dare to push the boundaries. Similarly daring shows: Six Feet Under. Big Love. Breaking Bad. For something more lighthearted, try "Pushing Daisies".
8. Classics (if you can find them!) - Some shows are simply great, no matter how old they are. Star Trek (and The Next Generation). Columbo. Twin Peaks. Northern Exposure. Freaks and Geeks. Felicity. Veronica Mars. Firefly. My So-called Life. Buffy the Vampire Slayer.
9. If you just want great shows – Referring back to the “learner-friendliness” I mentioned in the beginning, here's a list for those who don't mind shows that require knowledge of American life or certain vernaculars to really get into them: The Sopranos. Mad Men. The West Wing. Battlestar Galactica. The Wire. Oz. Deadwood. The X-Files. The Daily Show. The Colbert Report. Law and Order. The Shield. Sports Night. Generation Kill. True Blood. South Park. The Simpsons. Entourage.
10. If you're already overwhelmed... Worry not! Any American show out there is fine – if you watch it without the subtitles! Trust me on this. Even if you feel that you don't “get” half of what's going on, your brain is processing it. Do this for a whole series and tell me what you think!