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When people who haven't seen the Sopranos ask me whether I think they should watch it, I say no. Why? Because the show is well-written, well-acted, and highly entertaining; before long you will be addicted; and then you will feel compelled to watch episode after episode of cruelty, despair, and increasingly cartoonish violence. I wish I'd never started watching it.
It's interesting to me how many of the letters in this comment thread amount to "I love this or that show because it makes me feel so bad." Not that I want sweetness and light, but I don't understand why evil and hopelessness seem to be the only things that count as drama, or even entertainment. Shakespeare wrote comedies as well as ferocious tragedies, and some of the comedies are among his best plays.