There seems to be no end of TV shows on ghosts, cryptozoology, and other "phenomena" that say, "Let's see what's out there." (I argue cryptozoology does not belong with the other topics, since it deals with falsifiable hypotheses and is therefore a real science when done right, but the point of this post is the same whether it's ESP or Bigfoot.)
What we need is a show that examines these topics in depth, not just breadth. How could certain things happen? Is the science plausible? If the science isn't plausible, are people reporting things that aren't there? What's the science behind that? Psychology? If we're looking at a creature, what's a plausible food web like? What species might be its ancestors, and how has the whole line remained hidden? Some shows do a good job with particular bits of evidence, like the way MonsterQuest got an expert to look at the MacFarlane's Bear remains, but there's no show that goes deeply into the science, psychology, and sociology of the paranormal. If you have to postulate a supernatural explanation (I don't claim there can't be such a thing), is the evidence so overwhelming that no other option will do?
I don't know how you fund a show like that, but there are hard science series on astronomy and nature that get done. We need one that really looks deeply, with objectivity and open debate among experts, at the "fringe" topics.