I've never watched the Shield, so I won't comment, but I'm really liking this season's Wire. The first season was great, but the second season completely lost me when they got too much away the main storyline (Avon Barksdale), and I didn't watch the third season (didn't get HBO back until recently). This season is getting better by the epsiode, and I wouldn't be surprised if someone eventually gets Marlo Stansfield.
My all-time favorite HBO show was Oz...but the final episodes of that series were complete ****. I was so disappointed in the finale, I can't watch the reruns much anymore. If anybody remembers, they killed off Minister Said and Warden Glynn even before they reached the final episode. Normally if you kill off your main characters, you should at least wait until the final episode.