I've just posted a big reply on this topic
in another thread.
Here's the tl;dr version:
You obviously want this media and you're willing to pay for it, but they've only made it available in certain countries (so they can sell the 'first broadcast' rights to Sky for loads of money in the future, no doubt).
I've been in that situation before, and I don't see why I should jump through (legally dubious, slightly fraudulent) loopholes to give money to companies that obviously don't want it, to 'buy' files that I apparently have no right to buy, and could be taken away from me at any time if and when Apple close my US iTunes account.
Remember, unlike music, TV shows and films on iTunes are still protected by DRM. If they cancel your account, you can't authorise a computer, iPhone, iPod, iPad or Apple TV in the future, so you lose everything you've bought.
I don't want to flat-out advocate/admit piracy, I just think the way our media companies work is ridiculous. They'd make a lot of money if they released something worldwide, at the same time, for a decent price. For a prime example, look at the release of Valve games (in particular Portal 2) through Steam. Look at Apple releasing OS X Lion and Mountain Lion through the App Store.