The main problem with The Wire is that each season is more like a novel than a TV series. So they pretty much all have that slow build as you get to know the new characters (each season introduces a new set of them), they build the new case, and then you get the payoff at the end.
For what it's worth, I hated season two at first, but it is my favorite season now. Seasons three and four are both spectacular as well. The final season is the worst (note: not bad...just not as amazing as the first four) and the first season, while still great, isn't as good as 2-4 imo. Most people seem to like one of 2-4 the best. The final season does have a good finale, though. It doesn't resolve every issue, but it does tie a neat little bow on the series.