It's not like there's a lot of action going on most of the time--it's mostly people talking. Which is fine! But not everybody likes that kind of show. It also doesn't have the same addictive amount of leaving each episode on a cliffhanger the way more recent shows are written.
I never watched the Sopranos or West Wing, so I can't speak to them. I enjoyed The Wire (bought the box set!), but it's still a slow-paced drama. If that's your jam, it's fantastic. If it's not, it's still worth a shot (it's that good), but it's not "try it for 18 hours if you don't like the genre" good. All IMO of course. And full disclosure: I'm not a big fan of dramas, but The Wire still grabbed me. Hence my caution that it's somewhat slow compared to other fare.
I should watch it again, it's been a long time and it is worth it.