I'm feeling this with The Wire right now partway through Season 3. I watched and loved a lot of prestige shows like Breaking Bad and The Sopranos. The former you see Walt's true personality come unleashed and can at least see the progression of how he became an asshole, and the latter almost everyone is horrible but they're interesting and funny caricatures.
In The Wire, pretty much everyone is a piece of shit, but they aren't goofy Paulie Walnuts type characters either. The cops abuse everyone, the politicians are corrupt, and most of Stringer Bell's crew are just exploiting people younger than them in their drug empire to enrich themselves without doing anything to alleviate their poverty.
The only sympathetic characters so far have died relatively quickly. Which I guess if you look at it as more a reflection of reality, it all makes sense, but there's nobody to root for and very little humor in any of it. I don't hate it, but there's a pretty big contrast in presentation.
Edit: I caught some episodes of Entourage and that one is pretty bad too. Everyone in that show sucks.
Yeah, there's a lot of important issues being talked about and I really like how every season focuses on a different part of the city and how things are changing for different groups of people. I think I worded the other post too harshly because it's a good show and not everything needs a quirked up white boy to provide comedic relief. But it definitely fits into the "no good protagonist" slot. The first few episodes of Season 1 are just a bunch of cops beating up black people and I was like "these are supposed to be the protagonists?" I was carried through by the few sympathetic characters and alternating viewpoints. Even in Season 2, there's people (the Sobotka relatives) who I think are supposed to be sympathetic but who I don't really care about.