Quoth Alpha Strike
Good suggestion - I've got XBL and didn't even realize I could purchase episodes through them.
Yup. With Zune, you can purchase individual episodes or entire seasons. This is how I stay current on Mythbusters and Dr. Who, and now Top Gear, since I burned through all of the eps available on Netflix streaming.
I still haven't seen Eleventh's Christmas specials because Zune didn't have them last time I checked.