I've only finished two seasons but I'm hooked. The Wire is a great show because it is a study of systems. The drug gangs are run like corporations. They don't use the terminology, but they have executives, middle management, junior employees.
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The show doesn't take sides between the cops and the criminals. They are given equal time and shown as two forces who fight against each other and fight internal corruption.
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As the seasons progress the web gets larger: the dock workers' union, smugglers, local and state politicians, the educational system, the media.
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You have to pay attention to each short scene. Police jargon and street slang and thrown around without explanation, and it's up to you to catch up. Figuring out the systems it portrays is the fun.
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The first two seasons build slowly and end with what feels like an anticlimax. Everything continues on the same as before.
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Interview with Felicia Pearson:
http://www.youtube.com/watch?v=kZxRKnWXZSE