Garth Merenghi's Darkplace is very funny. It's all over YouTube too, last time I checked, so you might not even need an all-region dvd player to see the whole series.
Black Books is enjoyable for Dylan Moran's misanthrope routine, but not as good as I'd hoped. Maybe my expectations were raised too high by Father Ted (also co-written by Graham Linehan), which is one of my favorite tv comedies. Big Train, Linehan and Matthews' sketch comedy show starring Simon Pegg and other familiar faces, is out on US dvd now, and that was an even bigger disappointment.
What else? Peep Show is often fantastic and really picks up in its third episode or so. The dark, "uncomfortable" style of humour is becoming played out but they do it really well. Unfortunately, it looks like the first series is the only one they're releasing here.