I watched The Shield since its very first series and was a big fan. Sad to see it's finished now, but it was one hell of a ride. The cast were superb, especially Michael Chiklis who, in Vic Mackie, portrayed such an evil character that you do find yourself actually rooting for throughout, despite his wrongdoings. The script was brilliantly written, very snappy and most episodes could be watched in isolation as there is usually a case per episode, though with a meshwork of back stories and subplots going on in the background. It does make the whole show enjoyable if the series are watched from start to finish as there are many subplots from even the first season that are alluded to throughout and don't actually become resolved until the very end.
It is largely superseded in my mind now by The Wire as my favourite cop drama, but it gives it does give its Baltimore cousin a serious run for its money in the depth of character, and the LA setting with all that sunshine does give it a level of gloss the Wire doesn't have. That in a way makes it all the more interesting with the less dour setting making some of the horrendous crimes (perpetrated by both the criminal fraternity and the police) all the more shocking when they do occur.

The Shield is the grittiest USA cop show on TV ever. Imagine Tony Soprano as the head of a police division's strike team and you have The Shield.

Vic, head of a police strike team in LA runs all the drug traffic in his area, kills other policemen, robs drug gangs etc...

There isn't another show like it.

Start at season one and work up to the final series on Five USA currently.