I loved the anti-government stance in Firefly, though I'm not sure if it was a particularly "preachy" message. Still, the idea of dirty politics and governments "existing to get in a man's way" has a ring of truth to it, in my opinion.
I wouldn't say Buffy is completely anti-sex, but the way they represented the loss of innocence with Angel losing his soul was brilliant. I don't think the show was necessarily saying, "Don't have sex! Abstinance is key!" but it was definitely saying, "Be careful, sex changes everything."
Actually, the best "preachy" message I've seen in a while was in a movie and not a TV show. The idea of racism and prejudice was addressed fantastically in District 9. The idea of the targeted race being not human but alien really gave the viewer a different look at racism and how it develops. Also, what happens to the main character really highlights how terrible people can be to just a specific group of people (or aliens).