It was mentioned very briefly above, but Babylon 5 is probably the prototypical television example of it, with the first four seasons being a very tight series of arcs. Way better than any of the other movies or TV shows mentioned here, at least to my eye. I also disagree with the comments about its first season: I think it's good as it is, but it spends a lot of the time laying the groundwork for things that are paid off one, two, or three years down the line. You can't fully understand or appreciate the scope of what it does without the first season. The fifth season loosened up a little bit, and not to the show's benefit (as, for various reasons, the two largest chunks of story had been resolved), but overall the effect worked extremely well and really kept you involved from start to finish. Seeing how the characters grew (or didn't), learned from their mistakes (or didn't), or overcame their flaws and temptations (or didn't) over such a long period of time was an enormous part of why the series succeeded and what made it unlike anything else on television. It's not perfect, and parts of it (particularly the special effects) haven't held up well, but it's an outstanding example of storytelling on an epic-for-television scale.