“This American Life” is a remarkably good radio show - I can't think of anything like it on radio in the UK. They're not all great, but the quality is consistently very high, and most episodes have something of interest in them. I think I've listened to every episode available via the web now, but my memory of lots of them isn't very clear.
I've tried to note down some of my favourite shows here, and the bits that I think are particularly good. There are other recommendations from the show's staff on the website, or you can get an idea of the range from the complete archive.
If I've just listed the name of an episode, that probably means I think it's almost all good.
Update (2007-02-28): I haven't updated this for a while, largely because it seems a bit pointless to pick out particular programmes when they're all so good. There's a proper podcast now, which is great news.
There are several CD compilations that you can buy:
I have the first two of those. The selection of stories is rather surprising to me, but if you're a fan they're worth having. Also of interest if you've listened to a lot of This American Life would be these two quizzes:
(I got 10/10 and 7/10 respectively, but a couple on the first one were lucky guesses.)
Annoying, their website no longer has links to generic pages numbered after the show, so I hope these "I'm Feeling Lucky" links all work.
61 - Fiasco!
All good. The Peter Pan production story is hilarious...
192 - Meet the Pros
Fantastic, apart from the last bit, about Martha Stewart
Living, that I don't understand at all. Cultural mismatch, I
guess. The bit where Joel Lovell's talking about the Nike
"freestyle" commercials is hilarious:
"I mean, I don't want to sound like a commercial flack or
anything, but I think this commercial is just about the
greatest thing that has ever been on television. It kicks
the moon landings' ass.
The bit about professional poker is excellent too.
178 - Superpowers
(6:00 -> 19:00) Act One: about a man who asks people whether
it would be better to have the power of flight or the power of
invisibility. Excellent conversational material, apart from
anything else. :-)
(38:05 -> 47:30) Act Three: the man who does "Gone and
Forgotten" talks about some of his favourite useless comic
book superheroes (e.g. Captain Marvel, who can detach his
limbs and throw them at people...)
37 - Jobs That Take Over Your Life
(2:30 -> 13:30) [Scott Carrier] An extremely depressing story
of travelling around the country surveying schizophrenics.
It's very affecting, and quite cathartic, I think. (The story
in the last act, "Orientation" is good too.)
258 - Leaving the Fold
(4:10 -> 35:20) The amazing story of Jerry Springer's past
(and possibly future) political career in Cincinatti.
127 - Pimp Anthropology
260 - The Facts Don't Matter
All good: the introduction about FCC fines, the story of the
Nazi saboteurs who landed in America during WWII, and the
story about how political polls work.
261 - The Sanctity of Marriage
(6:00 -> 29:00) Research on finding traits in couples'
conversations that indicate how a marriage will turn out.
164 - Crime Scene
Act Two: Grime Scene
125 - Apocalypse
The prologue, about "Left Behind" is quite remarkable, as is
Act One, about the effort to engineer the birth of a "Numbers 19"
red heifer in Israel, and the possible consequences.
138 - The Real Thing
Act Three, about ridiculous Southern accents in the movies.
Act Four has a shrill-but-hilarious disastrous-dating story.
Actually, the rest of it's pretty good too.
157 - Secret Life of Daytime
I wonder if Zoe Williams' column, "Things You Only Know If
You're Not At Work" was inspired by this. Particularly funny
is the bit about the men at the grain elevator who have a
group obsession with the soap opera, "The Young and the
Restless."
126 - Do-gooders
198 - How To Win Friends and Influence People
Prologue is funny - can't remember much about the rest.
213 - Devil On My Shoulder
The play described in Act One is one of the most fucked-up things
I've ever heard. The story about the Amish tradition of rumpsringa
is interesting too.
160 - Character Assassination
168 - The Fix Is In
A fascinating story about ... price fixing (seriously)
244 - MacGyver
particularly Act Three, about how the FBI nearly ended up making
a movie...
238 - Lost in Translation
I love the story in the prologue about Russian and American
ideas of what makes a good date; the rest is good too.
62 - Something for Nothing
260 - The Facts Don't Matter
the FCC craziness and Howard Stern
how polling is really done in America
295 - Not What I Signed Up For
Act One (about being a public 9/11 widow)
293 - A Little Bit Of Knowledge
292 - The Arms Trader
A very alarming story of, well, entrapment
290 - Godless America
Interesting and very scary, as everything about politics and
religion in the USA is seems to be. Act Two is particularly
affecting for me: it's about Julia Sweeney's losing her faith
through reading the bible.
284 - Should I Stay or Should I Go?
... for Act Two; the story of the Apple employees who carried
on working on their graphing calculator application after
their contracts had run out.
284 - My Big Break
Only really for Act Two, about the couple who were the other
act on the Ed Sullivan show when the Beatles played...
279 - Auto Show
Lots of good stories, despite being all about cars...
275 - Two Steps Back
272 - Big Tent
Act One and Act Four are good for Patrick Howell's story
about being the difficulty of being a gay Republican.
268 - My Experimental Phase
123 - High Cost of Living
Act one is horrifying; act two is about "baby talk".
231 - Time to Save the World
Act one, on eliminating smalltalk.