It's been mentioned a couple of times, but hands down, my favorite series is
Deadwood. If you don't mind foul language, the writing is spectacular. The dialogue is in what I call "old English" and really makes you think. One of my favorite Al Swearengen quotes goes something like this: "Truth is a spice, when added, even if just a pinch - to any falsehood makes that lie much more palatable"