Armando Iannucci, who was involved in some of the Coogan/Morris shows, has made some wonderful stuff the last few years: The Armando Iannucci Shows, Time Trumpet and The Thick of It. All these are worth seeking out on DVD/internet. A pilot for an American version of that last one was apparently made (directed by Christopher Guest), but hasn't been picked up anywhere yet.
Snuff Box is great too- it's Matt Berry & Rich Fulcher from The Mighty Boosh, although if you don't like that show you may not like this. Rich Fulcher is the funniest American unknown in his home country since Bill Hicks (or is that Rich Hall?).
Peep Show is awesome, all 4 seasons. It took me a couple episodes to get into it, then I was addicted. A U.S.A. version of it was attempted, I guess it stunk.