I've been watching Deadwood and I was skeptical at first since western isn't usually my bag, but wow. The characters are really deep and halfway through season 2 I haven't seen a disappointing episode yet. The dialogue is smartly written, and the tie-in to historical events makes me feel like I'm almost learning something. My suspension of disbelief is complete, even during the occasional extended monologue that goes a little over the top.
Highly recommended. I guess the show ran for 3 seasons, if it starts to suck I'll be sure to report back here.