They are also horrible people in a way that doesn't feel as real in the Sopranos. That's a downside for me, I couldn't watch more than 6 episodes of these horrible, selfish people.
Edit: as an example, Peggy goes to extremes to do what she wants to do, overcoming all the obstacles that come her way. Is she selfish? Maybe but what kind of life would have she had if she had acted in some other way?