Deadwood - http://www.imdb.com/title/
Breaking Bad - http://www.imdb.com/title/tt0903747/
Being Human - http://www.imdb.com/title/tt1349938/
True Blood - http://www.imdb.com/title/tt0844441/
I also like Nurse Jackie http://www.imdb.com/title/tt1190689/
and Getting On http://www.imdb.com/title/tt1468773/ -
which are superficially similar - darkish comedy drama based on nurses - but very different US/UK styles (rather like the difference between Being Human and True Blood)
Some other ideas,
And (like Mad Men) I never managed to watch the Soprano's - http://www.imdb.com/title/tt0141842/
but that also has an excellent reputation
Sons of Anarchy - http://www.imdb.com/title/tt1124373/ has been called The Sopranos on Motorbikes - I have seen quite a few and it is not bad at all, but not quite up to The Wire, Deadwood and the like - or at least I have not connected so much with the characters and the larger story.
And finally, Justified - http://www.imdb.com/title/tt1489428/ , has a very good reputation
Luther (BBC) was also recommended to me - staring Idris Elba (from The Wire)
