As others said, The Wire takes a few episodes to really get going, but the payoffs are huge and well worth it. Slowly but surely, you get to know realistic, flawed characters intimately, and you see them struggle (or thrive) in the social mechanisms that trap them - that trap us. Characters go from "bad thugs and good cops" to "just a bunch of people trying to survive every day in a fucked-up system". And when you think you've finally settled into familiar surroundings-BANG! they take you to another little corner of Baltimore, overlooking another piece of the system, and force you to consider even more points of view, even more merciless dynamics, even more awful connections between the drug economy and the official one...

And of course, The Wire perfected the original "make you care about people, kill them, then keep going" trick well before GoT.