I first watched The daily show while I was living abroad. I got only a few english speaking tv programmes and most of them were news related - CNN, NBC... The daily show was one of the three programs I liked - the other two were The tonight show with Jay Leno and The late night with Conan O'Brien.
The daily show is something I consider a time well spent. It can be watched for free on its site: http://www.thedailyshow.com/. It's paid in iTunes.
On the same site (Comedy Central) many other shows from the cable television may be watched for free. The most notable from them is South Park.