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I have to admit that I only finished watching the 2nd season of the Wire last night so I've got 2 more seasons to watch and apparently a 5th and final on the way. My feeling is that the Sopranos was about characters and the Wire, while having very likable characters (and some not so likable), does a better job of telling a story.
When it's all said and done, after seeing the final episode of the Sopranos I was very sad that it was over, that I wouldn't know what happened to the characters I had become so engrossed in throughout the series. At the same time, the meandering plots and myriad characters tossed at me throughout the series had become so confusing and really superfluous to the real focus which was the character of Tony Soprano and his fate.
At this point in the Wire I don't have the same affection for any of the characters. This is not to say that the characters are poorly developed or don't earn my empathy, but they are merely entertaining props to move the story narrative along rather than the primary focus of the story. When I've watched the last episode of the Wire I'll be sorry that I don't have such entertaining TV to watch, but I won't have the longing in my heart I do to know what happens next like I did with the Sopranos. At the same time I seem to be more impatient waiting for the next disc of the Wire from Netflix as I was with the Sopranos.
I think the answer to "best show of all time" probably depends on what you like. Both shows deserve consideration, and I only hope that HBO or some other network continues to delivery escapist dramas of this quality.