You're right, Netflix does a great job of tracking state and knowing where you are in an episode. And their streaming is pretty solid too.
Maybe I gave HBO too much credit. Still, I do think Netflix has a bit of a Craigslist/Amazon issue where so many people are used to it working a certain way that it's now hard to change the UI in material ways without causing a drop in revenue. I've used their new web UI, and it's a little better, and I'm glad they dropped their red-heavy color scheme, but it's still basically the same clickable linear lists of shows arranged into a series of rows. I guess I'm just cranky that there aren't more visually interesting ways to discover new shows--I find that my eyes glaze over after a minute or two of browsing with these kinds of UIs, and everyone seems to use them.
I think the worst UI award goes to iTunes though. It is so hard to discover new shows and movies on there. I can find things I already know about, but when I'm searching and trying to find something new and fun, it's hard to find cool stuff. I basically click on related shows for something I already like until I find something new, but it's not fun and I find better recommendations on Netflix.