My absolute favorite is Aquariello Italiano by Champs-Elysees.com This, however, is not grammar instruction. Rather it is a series of small magazines with articles and interviews about Italy, the Italian culture, current events, etc.
The articles are in Italian, of course, with some translation of difficult expressions; and each magazine comes with either a CD or tape. I like to read the articles first and then listen as I read. They are, though, for someone at least at the intermediate level.