I got The Sopranos series set for christmas two years ago and I found it much more enjoyable to watch a tv series at once instead of every week. I don't have Hbo so I was glad I finally got to see the show. It became my favorite show pretty quickly.

Then, I took a chance and grabbed the season sets of OZ. I was surprised that I liked Oz More than the Sopranos. While I didn't like the last season I thought I enjoyed Oz more throughout.

Then I decided to try The Wire. I have watched the first two seasons and I will agree with the Wire fans and say it is top notch.

While I have 3 more seasons of The Wire to go through, I will rank them for now as:

1. OZ
2. The Sopranos
3. The Wire

Finally, having said that, what tv series should I try after The Wire ? I am only interested in premium cable shows.

Definitely get these HBO shows (and in this order):
Band of Brothers
The Larry Sanders Show (can't get the complete series on DVD however)
Rome
Curb Your Enthusiasm
From the Earth to the Moon
Mr. Show with Bob and David

Dexter is probably the biggest one I'd recommend.
True Blood is good if you like vampires and supernatural type stuff.

You can't really go wrong w/any HBO or Showtime series. Seeing as how much you liked Oz, and Oz being my favorite show ever, I'd personally recommend Rome. Not that the two are similar in any way, but just coming from our seemingly similar tastes. Mr. Show is probably my favorite skit comedy show ever, but tastes in humor and drama can differ completely. And it sounds like you're looking for serial dramas, so I'd go:
1.Rome
2.Six Feet Under
3.Dexter

Oh, also forgot Deadwood. Another great HBO series.

just a tad warning with True Blood, the series def takes some getting used to (in other words don't bail if the first few episodes don't grab ya)
My suggestion to watch would be Californication. That show is funny as hell, and is very addicting too (i watched the full first season in 2 back to back nights, and i rented them too). I think season 2 comes on dvd sometime this summer and season 3 starts in the fall i believe.

Dexter should be next and then Weeds

Trust me Six Feet Under by FAR.

If you've got DirectTV they're going to start showing Deadwood and Oz for free at the end of the month.

Dude you are sooooo right. I had this on my DVR and just finished it. It took forever to get by the first 4-5 but then it was off to the races and I couldn't stop watching.

yeah. i'll agree about true blood. it started off fairly slow, but picked up midseason.

Big Love
Carnivàle
Curb Your Enthusiasm
Dead Like Me
Deadwood
Dexter
Eastbound & Down
Entourage
Extras
Flight Of The Conchords
Party Down
Rome
Six Feet Under
True Blood
United States Of Tara

This of course.

Excellent show.

Agreed great show and still one of the best series finales I have ever seen.

Dead Like Me is really fun during the first season, try that one. Bryan Fuller left before the second season and it became unbearably dull, but big fans of the show never admit that the whimsy of the show went right with him.

Oz is excellent. Brutal drama.

Six Feet Under is a mixed bag for me, but pretty enjoyable on the whole (made better since you can watch it on DVD in large chunks). You've really got to slog through some awful stretches where the writers seemed to have nothing but contempt for the characters, though. It can be painful.

True Blood is a wonderful camp-fest. Horrible performances (intentional?) and all that jazz. Don't take it seriously and you'll think it's a hoot & a half. Can't wait for more Michelle Forbes in season two.

For an oldie, Dream On is pretty entertaining. Good early comedy from HBO.

I know it involves vampires, but is true blood ultra-violent like hostel and saw?

Cathouse on HBO is good

Dream On. No one's mentioned it and I always liked it.

Brotherhood. Not as good as Sopranos. But much better than the Wire.
Brotherhood is a really good show. Great actors and is never boring.

I agree there, two of the best shows in the history of television. I'd put Six Feet Under right with them.

I'll also echo Dexter and The Larry Sanders Show. Oh, and Curb Your Enthusiasm.

These are a must...

Entourage
Six Feet Under
Curb Your Enthusiasm
Weeds

Dead Like Me
Jeremiah
Dexter

Not at all. There's surprisingly little blood and violence.

My suggestions in order of how much I liked them:

Deadwood
Six Feet Under
Entourage
Dexter
Weeds
The Tudors (which no one has mentioned yet)
Brotherhood
Extras

One of my favorites as well. Unfortunately...HBO only put out the forst 2 seasons on DVD, then stopped.