Anything Criterion obviously, although I wonder if they aren't cheaper online. Many US independent movies, but again I'm not sure if they are even available in regular stores. All in all, it is really to wide a field to make any recommendations without knowing what you like.
EDIT:
Some interesting indie movie labels off the top of my head: Microcinema, Hart Sharp Video, Strand Releasing, ThinkFilm, Facets, Film Movement.
As for TV shows: Two favorite shows of mine are HBO's John from Cincinnati and the Canadian Slings & Arrows. AFAIK, both aren't available outside R1. Then there is the Shout! Factory label with a lot of classics that AFAIK aren't available elsewhere.