If you haven't watched The Wire I would suggest that too, definitely on par with The Sopranos. It's a great tv show.
Boardwalk Empire is very good too, but if you want a show that has finished it's run it is probably best to wait.
I've still got it, just can't muster the enthusiasm to play it. I just know it will be a disappointment. that and I am addicted to the COD mp again.