I'm currently watching The Wire as well. S2 Ep 2 up next. I borrowed from a friend who has the series on DVD.
Not sure about other providers, but HBO's OnDemand lineup on DirecTV is awesome. As far as I can tell, it's every episode of every series they've ever done, new or old. The Wire, Oz, Band of Brothers, Sopranos, Game of Thrones...everything. I'll be ordering it for a month or two soon to watch S3 of Game of Thrones and Boardwalk Empire.