(There is something perverse about the show. It makes us -- or a lot of us anyway -- cheer on the evil characters, and that's disturbing.)
I can't speak for others but I have a theory that the reason this show is so popular because these 'people' live by a very strict code of honor which is missing in everyday life and when it is broken, there is swift justice, which is something else that is missing. They also put a lot of stock in loyalty and family, something else which is in decline in this country.
They believe a man's word should never be taken lightly and if it is broken, there is a price to be paid, just ask the kennedy's.
Also no commercials. That alone makes it far more watchable than network crap. But I think Rome has replaced it as my favorite HBO drama series.
It's said that there's such a code in "The Godfather," and you can see it there, at least in the first movie of the series. Whether it's still there in "The Sopranos" is harder to say. Sure, Tony couldn't have his crew find out that he was in therapy and everybody still hates a rat, but I wonder if he and the others have broken an awful lot of the code of honor. You could view a lot of the episodes as "morality plays" in which characters struggle not with the outside society's strictures about what's right and wrong, but with the code of the mafia and their own inclinations, but a lot of the series seems to be saying that Vito Corleone's world, real or legendary, is gone.