I just finished the second season, too, and had the same thought. I'll watch another season but it makes me think about how Breaking Bad does a better job of balancing despicableness and humanity in their characters. Also, just finished season two of The League. Hilarious.
I've heard a lot of people being bored with Broadwalk Empire. (Haven't watched it myself.. yet)
It's a shame. From the trailer I've watched it looks like the coolest shit ever.
Scorsese is involved in it, right?