On the Sopranos one of the things I like about it is it is transitional. I like Babylon 5 for similar reasons. Both have clearly been shows that helped lead to the kinds of TV you see today, but they still had elements of earlier television (which I think make them more enjoyable on rewatch (a lot of the newer prestige TV built around a long narrative, I might like a lot the first time, but then have no desire to watch again: there are, of course, exceptions, and plenty of newer shows don't do what I am talking about here). Both the Sopranos and Babylon 5 still have individual episodes that are entertaining on their own. There are basically three TV shows I watch again and again: Doctor Who, The Sopranos and I, Claudius. Doctor Who is another that still has great self contained episodes even if it has a longer seasonal arc.
For those who don't know, there are also some connections between I, Claudius and Sopranos (for instance Livia is named after a character from I, Claudius, and Chase did this for a reason). Of course I, Claudius is more about the longer narrative. But it is just so well written I've watched it regularly since first discovering it in the early 90s and it never gets old (plus it has a lot of great performances by people like John Hurt (one of the best examples of a villain who is sympathetic but remains terrifying, which is hard to do), Derek Jacobi, Brian Blessed, Patricia Quinn (who played Magenta in Rocky Horror), Sian Philips (maybe the greatest villain role ever), and Patrick Stewart (seriously if you want to see Stewart play a terrific villain, check this show out). Also there is a fun connection between I, Claudius and the 2007 season finale episodes of Doctor Who.