Seasons 2 and 4 were my favorites, although I hate picking favorites from such a wonderful show (Does anyone pick S5 as their favorite? Seems like a tough one to prefer).
Avoiding spoilers, let me just disagree that the characters from Season 2 disappear when the season ends. Although it is not the characters you expect, some of the S2 characters do indeed continue and play quite relevant roles.
Also, I kind of love how the show took that balls-y 90-degree turn into the very specific Baltimore stevedore subculture for a season. I think it is one of the reasons the show was able to accomplish such a massive, sweeping feel.
I am envious of you, Andy. You have so much greatness ahead of you.