The Wire. Seen it 3 times over since it ended and picked up new things each time. This isn't a show to get instant gratification, the story arc starts from the very first episode and ends at the very end of the series. Unlike something like CSI where a case is solved every episode.
But again comparing The Wire to something like CSI, is like comparing a novel to a coloring book. Most retards don't like it. But if you have 1/2 a brain it's fucking excellent.
The Shield was good too, the shaky cam pissed me off sometimes but that's about it.
I also vouch for Sons of Anarchy. It was pretty mediocre in Season 1, but it REALLY picked up IMO and is really good TV.
and +1 for Underbelly sucking. That show is a piece of shit.