I would agree that Breaking Bad takes the cake for compelling TV, with a steady escalation of jaw-dropping moments. I don't remember the last time I was this wrapped up in a story.
I would say Sopranos was the last show that I found a story really compelling. However, Sopranos had a lot of filler in terms of story plots and character development. The creators dragged the show on about two seasons too long to cash in on its popularity.
Breaking Bad is the opposite. There is a purpose for everything. Like you mentioned there is an escalation from season to season that never lets up.