Without a doubt you should watch The Shield. It's one of the best television shows I've ever seen and I suggest it no matter your tastes.
Let me be the third person to recommend
The Shield, especially now that all seven seasons are available on DVD (at least, in Region 1--not sure about others).
This was a really outstanding hard-boiled police drama about a fictional precinct in one of the rougher parts of Los Angeles. Inspired in part by the real-life Rampart Scandal, it concentrates on a special anti-gang unit, the Strike Team, which is implicated in all sorts of misconduct and corruption. It also features some stories involving more conventional detective work, and the work of uniformed officers.
Over the course of its seven seasons,
The Shield told a really epic story of the Strike Team's rise and fall. The writing and characterization were outstanding, and some seasons featured some heavyweight guest stars like Glenn Close and Forest Whitaker. The show was especially remarkable for its morally ambiguous characters: the leader of the Strike Team, Detective Vic Mackey, is one of television's great anti-heroes.
I would also recommend any and every show in which David Simon has been involved. Three of them are crime dramas set in Simon's home city of Baltimore, Maryland and were inspired by Simon's own investigative journalism:
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Homicide: Life on the Street, about the Baltimore Police Department Homicide squad;
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The Corner, a very poignant miniseries about the drug trade and its victims in the city's African-American ghetto;
--and
The Wire, another truly epic story of crime, policing, and corruption, giving equal time to characters on both sides of the law. Although its particular theme was the omnipresence of electronic surveillance in contemporary life, it also provided a Zola-esque portrait of many of the social problems and crumbling institutions of a post-modern, post-industrial American city.
All of these series were made in a very naturalistic style, which is shared by another miniseries in which Simon was involved,
Generation Kill, based on the true story of a Marine Recon battalion during the invasion of Iraq in 2003.
These shows are not to everyone's taste:
The Wire, in particular, is a slow burn, and its "novel-for-television" format demands patient, attentive viewing. But IMHO, the five of them together represent some of the best American TV dramas of the past twenty years.