Given your previous preferences, I'd recommend three HBO shows (in alphabetical and
chronological order):Carnivàle (2003): http://www.imdb.com/title/tt0319969/Deadwood (2004): http://www.imdb.com/title/tt0348914/Rome (2005): http://www.imdb.com/title/tt0384766/
Be aware that all three ended early, so you may get frustrated with some loose ends not being tied up (IMO, Rome has the most satisfactory ending of the three). But if you know that up front, you can be prepared, and all are excellent entertainment.
NOTE: If you're not American, you may have difficulty understanding the language in Deadwood. The show attempts to have the characters talk in what's supposed to sound like
an authentic old west dialect (though many of the words were actually made up by the writers and the specific profanity used was noticeably modern). Subtitles would definitely help - even for born & bred Americans, the language can be hard to follow!