The main reason why I think so highly of The Shield is that from the first minute of the first episode to the last second of the last, every single little thing in the show mattered. Nothing was forgotten. Even when you thought it was, it came back in the next series or the one after. The continuity of storylines was unbelievable.
The Sopranos had plenty of stuff that left people wondering and was never picked up on again. Paulie and Christopher chasing the Russian in the snow for example. If that was in The Shield, it might have taken another 3 series but you would have found out where that really ended.
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