there is a significant danger with evil being commonplace in our lives.
Philippians 4:8
Finally, brethren, whatsoever things are true, whatsoever things are honest, whatsoever things are just, whatsoever things are pure, whatsoever things are lovely, whatsoever things are of good report; if there be any virtue, and if there be any praise, think on these things.
Luke 11:34-36
The light of the body is the eye: therefore when thine eye is single, thy whole body also is full of light; but when thine eye is evil, thy body also is full of darkness. Take heed therefore that the light which is in thee be not darkness. If thy whole body therefore be full of light, having no part dark, the whole shall be full of light, as when the bright shining of a candle doth give thee light.
There are 2 scenarios. As christians if we are watching those 'immoral' shows, obviously our eye is not 'single' or pure, and in reference to those verses listed above, our relationship with God will suffer as well as our testimony. That will also lead to us acting in the flesh, and not being led as much by the spirit.
From CS Lewis, Mere Christianity -
"People often think of Christian morality as a kind of bargain in which God says, 'If you keep a lot of rules, I'll reward you, and if you don't I'll do the other thing.' I do not think that is the best way of looking at it. I would much rather say that every time you make a choice you are turning the central part of you, the part of you that chooses, into something a little different from what it was before. And taking your life as a whole, with all your innumerable choices, all your life long you are slowly turning this central thing into a Heaven creature or into a hellish creature: either into a creature that is in harmony with God, and with other creatures, and with itself, or else into one that is in a state of war and hatred with God, and with its fellow creatures, and with itself. To be the one kind of creature is Heaven: that is, it is joy, and peace, and knowledge, and power. To be the other means madness, horror, idiocy, rage, impotence, and eternal loneliness. Each of us at each moment is progressing to the one state or the other."
But even if as christians we don't watch the 'immoral' shows, there is still an impact. The standard of Gods righteousness has never changed. Yet we as a society are moving further and further away from that standard.
Remember, God is a righteous judge. He will always judge sin. And when I allow into my home those things which are an abomination in His sight, I individually, and we as a nation will be judged for that (Sodom & Gomorrah, great flood, philistines, amalakites, egyptians etc).
If we ever really understood how much of a spiritual battle we are in at a heart level, not just intelectually, we might stop wasting our time on so many things that are inconsequential.