After having watched the commentary for Dr. Horrible, I looked up Felicia Day's original series "The Guild" on the net. Wow, it's hilarious! I've watched the entire series and can't wait for the next episode to come out.
http://www.watchtheguild.com/
There is also a NSFW series produced by one of the lead Guild characters that also has video game related funny stuff that I highly recommend:
http://effinfunny.com/legend-of-neil/
Has anyone come across other funny web series worth watching?
I really enjoyed CTRL
http://www.nbc.com/ctrl/
Tony Hale is in it.