I would say The wire.

There are maybe other shows that are funnier or more thrilling... But what amazes me from The wire is that it shows how in the current system there are no evil people or saints. It is the system itself what is corrupted and drives the people to act in the only way they can act.

For example, the politician played by Aidan Gillien, he is not corrupt, he really wants to do the right things and all of his individual decission can be understood as correct in its specific context, but in the end he did not achieve anything for its community and for the "public record" there is no difference betwern him and any other average or even corrupt politician.

The objectives of (almost) all characters are "nobel" (survive, protect inocent people...) but the outcome for all of them is bad, because there is no wining in this game