I would say yes, if the TV series are from a country speaking the language you are teaching. Not only is it great for vocabulary and grammar, but it adds a cultural dimension to the lesson. And it is a great motivation tool.
I agree with Yaelle regarding the importance of cultural aspect. However, I think it depends of what the Ss are aiming. For academic English, for instance, which is strictly based on "standard English" some vernacular usage or slang in series could be quite confusing. I recommend my Ss watching documentaries (even if with captioning on) since I am running academic English courses. Also, in some series even the spoken English is so fast and unclear, that Ss might feel rather discouraged by not 'getting what is being said'. Still, especially for Ss who learn English as a second language (rather than additional or foreign) exposure to North American/Anglo culture could be definitely beneficial.
I agree with Yaelle and Leyla. I too teach academic English so I too like closed-captioned documentaries, short YouTube discussions, etc. Academic English is so different from spoken English in the US that the two languages taught together can be very confusing. I find this type of problem in my intermediate/advanced classes because my students notice the huge discrepancy between what we study and what they hear. Most of my students are Arabic-speakers preparing for American graduate schools--academic English is a must especially for the Graduate Record Exam. But for students who plan to remain in the US for an extended period, I do recommend listening to news programs like CNN or MSNBC. History Channel or Discovery can be helpful. On YouTube my students like Khan Academy so we use it to enhance their math and listening abilities as we work through plane geometry or algebra. If you can find a sub-titled film with the students' first language as the sub-title, it can be fun to analyze the accuracy of the language. Most times the translations are incomplete or shaky. Even the old "I Love Lucy" TV series on DVD has the Spanish sub-titles to all that Ricky/Desi has to say--they skip a lot more than they say in most cases. But students can find that kind of analysis fun to do--even with a documentary. For instance, some students were not happy with the bin Laden documentary so we might use that for a cultural discussion at some point.
For me personally, I like to watch Mexican soap operas for the conversational Spanish. For cultural immersion, TV series can be very helpful. For some students from more conservative cultures, many TV series are totally unsuitable in their content and even language.
Following Krashen's Comprehensible Input Theory, and most academic positions on input, it is clear that maximizing the foreign language (FL) input is of major importance for FL learning. In that sense, TV shows provide provide a lot of input, which can be made comprehensible through same-language close-captioning. Plus, since TV shows are usually motivating per se, it could have students continuing to watch them autonomously after starting to see one episode in class, thus multiplying external opportunities for input.
I agree with with all that told above. Tv series in foreign language are really good tool, mainly in the cases when we don't have real interlocutor. Each episode can be a good lesson, and since the tv series are long, as a result we have many lessons. I am, for example, tried learn japanese by anime.
I have used TV series in my classes and I can ensure that students are more interested and they learn lots of skills (grammar, vocabulary, pronounciation). What is important is to adaptate the TV serie to the level of the class. For example, you can use short TV series like "un gars et une fille" or "camera café" to work with the argot in B2 / C1 levels. Grey's anatomy in french is a good serie to hook students who want to see the next episode. Some books like "Echo A1" (Clé International) a kind of mini TV series with an adaptated vocabulary. However, use TVseries with lots of argot words can be frustrating for A1/A2/B1 levels.
Watching TV series produced by the target language country as a hobby for the L2 learners could have positive impacts on their total understanding of the language itself and its respective culture. For instance, being more frequently exposed to correct L2 linguistic forms, becoming familiar with some aspects of the target culture, and subconsciously acquiring a native-like accent are some of the benefits of watching series in the target language especially for those who are in a foreign language context.