Can't really say it's my favorite but it's what I'm watching atm; I felt I should be culturally savvy about this show since I've heard about it for years. Compared to all the other HBO shows I've seen, this one's pretty tame but I understand it's the show that set the bar for current American TV. I'm not really into the whole NYC/Jersey wiseguy thing--it's a weird sub-culture--and this is definitely not Scorsese level but it's OK. It's kinda funny. And James Gandolfini has a certain style that I've always enjoyed.
That said, I'm watching the first season of The Sopranos.