It's pretty impressive, I think, that from season to season the characters' musical tastes are given attention and coherence. And the music chosen is just damn good, in general.
In the first season, I thought I heard Freamon listening to jazz saxophonist Hank Mobley in the office; later he and and Jimmy go to a bar where the great Miles Davis album Kind of Blue is playing. At the end of one episode, Daniels is listening to Ellington's "Fleurette Africaine," a haunting tune from the album he did with Mingus and Roach, Money Jungle, which itself is a great description of the world of The Wire. Later there's a scene in Daniels' house, I think it is, where he's listening to Coltrane.
The music is often chosen for thematic or slyly humorous purposes. In Avon Barksdale's strip club the dj is playing Bill Withers's "Use Me," for instance. There's a hilarious scene in the first episode of season two when Boadie is driving through Philadelphia listening to Garrison Keillor, and a witty use of the song "My Heroes Have Always Been Cowboys" as the maverick McNulty plots to get revenge on Rawls for plunking his ass on a boat.
It's attention to details like these that make this show so enjoyable to watch.