You might like breaking bad. It's pretty goddamn depressing - I haven't watched it in a while because I usually prefer to have my mood uplifted if I'm not watching something educational, but a lot of people like it.
It is definitely dark with a gripping plot, and has very interesting characters (well mostly just the main character, but that's good enough).
the wire will take you a while to get into. i watched the first season and thought it was just alright, but then when i watched the rest of the series i was in love with it. you just have to pay a lot of attention, theres a ton of characters to keep up with.
Can I unrecommend "Chuck"? TV's most annoying character.
Person who knows best: "Chuck, you'll be fine as long as you don't do x"
Chuck: *does x almost immediately for no good reason, gets everyone in trouble, helps them a little in getting out of said trouble, apologizes profusely afterwards and is told it's okay -- he did great*
Once or twice is fine, but when it happens once or twice every single episode it starts to grate.