When I was a wee one, I wasn't really into action anime series, though a couple have really changed the way I look at the genre.
My current favorite is History's Strongest Disciple: Kenichi (Shijou Saikyou No Deshi Kenichi) Unlike many series "about" martial arts, this series shows its main character training in actual styles to go from being a wimp to, well the title says it all.
Kekkaishi is pretty sweet as well Really cool supernatural stuff, and cg effects that don't look out of place with animation.
Unfortunately they have yet to be released in the US.
As for stuff that you can actually purchase-
Hajime no Ippo (released as Fighting Spirit in America) is an awesome series about boxing. It can be somewhat one-note in nature at times, but its formula is pretty addictive. It could just as well be called Punch Out! The Anime (this series is on netflix, if you're a subscriber you might want to try it out.)
For your samurai fix, Tsukikage Ran is a fun romp through a highly fictionalized medieval Japan. The opening credits alone will tell you whether you'll like this series or not.
That's really it for martial artsy stuff, though Ranma 1/2 is pretty good too. For Comedy, Azumanga Daioh is still tops. And if you like the occasional Romantic Comedy, Maison Ikkoku is a treat.
"Prepare your mind..." "For a mind explosion!"
-The Human Giant, Illusionators