Season 1 I found really easy to get into, really tightly written. I found the number of new characters introduced right away at the start of Season 2 a bit of a culture shock at first, but it ended up being enjoyable nonetheless, despite Nick Sobotka, who I don't think was acted particularly well.
Season 3 was perhaps my least favourite, I couldn't get into Tommy Carcetti at all, but come Season 4 he just clicked with me. I don't know, I liked his "can't be arsed" attitude at start, and by the end I was finding his excitement quite entertaining. The storyline behind the four boys was really good too. I'll avoid outright spoilers, but the death on the corner (wink wink) of one certain character was really well done. He went out like a proper hero.
Season 5...well. It's very watchable, and the last three episodes are one of the best little stretches the show ever had, but Christ, is the main storyline bizarre. Not only does McNulty act in a way that is a bit too far (even for him), he drags Lester down with him! It would have been a little easier to swallow had they done it in a 6th season, with the 5th season showing Jimmy getting ever more desperate. The way the situation just erupted was very odd.