As far as HBO shows go.
OZ...2nd favorite show ever (right behind Buffy). I never got so into a show where I just got pissed waiting for the next episode. The only thing that sucks about it are the 8 episode seasons.
Sopranos...Good show. While it's slow at times (especially when waiting for a new season) it usually delivers well in the end.
Six Feet Under...I started downloading the show just for the sake of nothing else to watch, holy crap. I'm not too into drama, but this show was brilliant, great mix of drama and dark comedy. And having the dead dad as a charctes just works so well. Although I don't have cable internet anymore, so I'll have to wait a while to see season 4.
Carnivale...beh. I got into the earlier episodes, and watched all 12, but near the end I was so bored with things. I hate shows that leave you with questions, just for the sake of leaving you with questions. I wouldn't mind watching season 2...but I'm in no hurry.
And The Shield is the shit!