For me, hands down it is The Wire. 5 seasons, and every time the last episode of the season I involuntarily spouted "My GOD that show is good...". I found myself sad when the seasons were over, because the ride was over too.
For those that enjoy the show, you should check out Homicide: Life on the Street. It's not as gritty as The Wire, and follows only the homicide detectives.
It's like a cross between The Wire and Law and Order, but the writing is just great. It was on network TV, so it couldn't do what an HBO show can, but still worth looking up.