My favorite is The Decalogue, a mini-series so great it's one Roger Ebert and Stanley Kubrick's favorite films.
By making their points through the dramatic action of the story they gain the added power of allowing the audience to discover what’s really going on rather than being told. They do this with such dazzling skill, you never see the ideas coming, and don’t realize until much later how profoundly they have reached your heart. - Stanley Kubrick
The Wire is proof great TV can be made with a huge ensemble cast. Each season introduces new areas of Baltimore and new characters, and there's never a boring plot. Omar is my favorite TV character.
Monster is a dark psychological thriller that's surprisingly humanistic.
Six Feet Under can be a little uneven in quality, but when it's good it's one of the most poignant and moving dramas on TV; recommend if you like Michael C. Hall from Dexter (this show is far superior IMO).
Deadwood and Game of Thrones are pretty great too. I'm interested in seeing Berlin Alexanderplatz, The Sopranos, Out 1, and Breaking Bad. Thanks for any recommendations or comments.