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You're all mentioning your favorite TV series. You're descending into trivia. Better you should ask, why are so few modern TV series doing this?
For the last ten years or so TV networks and syndicators have been trying to squeeze more and more money out of the shows, adding more commercial time. This also includes promos on networks for their other shows. "Setting a mood" has been replaced by "getting the gelt."
As a result, instead of setting a comfortable mood for whatever show you're watching, the TV show is shoved into your lap almost immediately, like a dog or a baby about to crap. It's like being forced to watch auditions of performers; no set-up, no life story like they did in A Chorus Line, just the raw "do your thing." In effect, show producers have made us suffer the same kind of hell they go through when creating a show, and the same pain of performers having to audition.
It's not the main reason, but it's one of the contributing factors about why television has become really uncomfortable to watch in the 21st Century.
Oh...by the way, have you heard the music inside TV shows? Long way from "Johnny" Williams and Henry Mancini. Or even Billy Joel's contributed songs on Moonlighting. There's always some sandy-haired, underpaid female wailing a lament in the background every time someone dies on Grey's Anatomy and some awful hippie folksinger dude speaking lyrics you can't understand over the love scenes on Smallville. And I bet these poor performers did these songs on specs because "your song will be on TV where millions of people will hear it." Yeah, if you can hear it behind the gushing blood and the sucking sound of people kissing.