The Sopranos is perhaps the most mind-opening series you could possibly ever want to watch. It's smart, it's quirky, it's funny - and it carries the mafia genre so well that most people can't resist watching. The best aspect of this show is the overwhelming realism of the characters, set in the subterranean world of the New York crime families. For most of the time, you really don't know whether the wise guys will stab someone in the back, or buy them lunch.
Further adding to the realistic approach of the characters in this show is the depth of their personalities - These are dangerous men, most of them murderers, but by God if you don't love them too. I've laughed at their wisecracks, been torn when they've made err in judgement, and felt scared at the sheer ruthlessness of a serious criminal.
The suburban setting of New Jersey is absolutely perfect for this show's subtext - people aren't always as they seem, and the stark contrast between humdrum and the actions taken by these seemingly petty criminals weigh up to even the odds.
If you haven't already, you most definitely should.