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.