I would say The Wire out of the ones I've seen. Kind of hard to rank Mad Men, Game of Thrones, and Breaking Bad against shows that have already finished their run. Haven't seen any of The Shield or Deadwood. Here's how I'd rank the ones I have seen:
1. The Wire
2. The Sopranos
3. Mad Men (not caught up with most recent season yet)
4. Breaking Bad (caught up)
5. Game of Thrones (caught up)
6. Lost