I don't have Sky but do have a monthly subscription to Now TV which means I do get to watch some of the new stuff on catch up plus box sets of things too, although they tend to only throw box sets up with very limited time to watch it all before the new series start!
I've just finished watching True Blood up to the latest episode shown on Sky and have now started Falling Skies. Prior to True Blood I watched all 4 series of Spartacus which I thoroughly enjoyed... Manu Bennett = yummy!
Other stuff I have watched and really enjoyed over the last 12 months either via Now TV or on DVD - The Walking Dead, Game of Thrones, Castle, with my usual weekly episodes of Bones, Criminal Minds, etc.
my next few I want to see, if they are on Now TV long enough are Prison Break, Banshee, Penny Dreadful, Cloud Street... Just when you think you are running out of stuff to watch they throw up tons of stuff you want to see, all at the same time, with limited time to watch them!
The plus side of £4.99 per month for the entertainment subscription means I no longer end up buying TV stuff on DVD as soon as it comes out and now just buy those I want for my collection when they are cheap!