We use UK netflix with a US proxy on our PS3 (when they change the codes, just search through YouTube or DigitalSpy, people will have work arounds for it)
If you have Sky, SkyAtlantic has a lot of HBO stuff within weeks (or days for some shows) of it airing in the US
TunnelBear works well with Hulu and other sites (CBS, ComedyCentral) and lets you view more than just US shows. To try it out, you can get up to 1.5 gigs free via twitter.
If your patient, a lot of US shows start up in January and they air them straight through with no breaks, usually ending within a few weeks of the US broadcast.