I once wanted to use American TV shows to help me learn English, but I found it is too hard and not very effective. A lot of TV shows contain many spoken English words or terminologies  which I have never heard before and maybe will not hear again. It also requires an American or a werstern culture background to understand some lines or stories. 

Now I can watch some TV shows like Devious Maids without subtitles, which is relatively simple for me, but for comedies like 2 Broke Girls and The Big Bang Theory, or law shows like The Good Wife, it is impossible for me to understand these shows without subtitles. Even for Devious Maids I can only understand 90 percent of each episode.

My conclusion: choose family dramas which contain many words that you can use in your daily life and are easier to understand.

For Chinese studying, I won't recommand 《西游记》. Not only because it is a very old show, but also because it uses a lot of "anticent style" Chinese. Normal Chinese people don't talk like roles in this show do. But I agree it is a very good show. You can watch it for entertaining.

@aegis: I also use the language in my everyday life too. This is just one part of my active/passive study program. What do you mean by "grindage" level? Don't you think that there is no end to language studying/learning, even for native speakers?

You need to change one of your headings because you do not mean "Read Subtitles." You mean, "Read Captions."

Subtitles usually refer to translations of foreign films into another language. I assume you mean try to read the Chinese characters as one watches a Chinese language TV show. 

Here's a link to some of the 快乐汉语 videos on youtube. https://www.youtube.com/watch?v=zTLmiD17mc0&list=PLdT5MUO4gYEdQBMFtkF5g803FJZOss-ip

我对中国剧不感兴趣但是我喜欢看中国新闻。我特别喜欢社会新闻。社会新闻有好多有意思的报道呵呵比如小三。