I was just scanning the comments to see if this point had already been made. Thanks!
Perhaps the most obvious example of this was Babylon 5. In many ways that woke up television producers to the option of strong story arcs across seasons or even the entire show instead of the old rule that everything had to end back in the same state where it started. Sure, there are plenty of other examples, even before B5, but I think that is what really changed the market.
Now it's standard practice for lots of shows: 24, Battlestar Galactica, Doctor Who, and many others.
Of course, other factors now support this model that weren't really a factor with Babylon 5. Namely streaming video, DVRs, and DVDs. It's no longer a big obstacle to expect fans to not miss any episodes. Fans will stream the old episodes to catch up, record them, or buy the DVDs. In fact, the DVD market encourages strong arcs; I think people are more likely to want to own a complete story than a collection of independent episodes.