Wetpaint isn’t using WordPress.
If you’re only planning on doing this for 10 or so shows, from your example, pages and nested pages might be a good option.
Otherwise, there are several ways to go about it. Here’s one:
From your example, you could use “Pretty Little Liars” as the term in one custom taxonomy (the taxonomy would be tv shows), and then attach a second custom taxonomy for the type of content that it is (e.g. photos, videos, etc. would be the terms in that second taxonomy).
If you don’t want to code this out from scratch, the excellent Types plugin for WordPress might help as well (I’ve done it both ways, and I much prefer using the plugin).