What's your favorite show of all time?
I think it's hard to compare shows of different types (dramas, comedys, etc.) against each other. Mad Men, The OC, and Seinfeld were simply better, IMO, at accomplishing what they wanted to do than any other program was at accomplishing what it was trying to do.
I will always have an undying love also for (in no order): In Treatment, Breaking Bad, The Hills, Deadwood, Sex And The City, Big Love, Cheers, Homeland, Gossip Girl, The Wire, Twin Peaks, The Practice/Boston Legal.
I would rank Lost up there really highly if the third season finale was the series finale. The final four seasons of that were a complete cluster though.