It’s old, but I recommend Murder One (season one only).
Loved the Bridge and Borgen, couldn’t get on with Arne Dahl, think I just wasn’t in the mood. Haven’t heard of Those Who Kill, will check it out, thanks!
My recommendation would be Carnivàle. Along with The Wire, it’s the most engaging TV show I have ever seen, I felt empty after watching the final episode. Set in a very dark universe, with a fantastic soundtrack, and every episode feeding into an overarching plot.
It’s no crime thriller or anything like that, but still worth watching.
Terriers
That’d be a great suggestion if a box set even existed. 
You can get it digitally from Amazon and iTunes, but there is no dead-dinosaurs DVD/blu-ray set.
Boardwalk Empire should fit the bill, with politics and crime in 1920s Atlantic City. Another one that’d be easy to get into now, with only one season under its belt, is The Americans, about a married pair of deep-cover KGB operatives in the 1980s.
Batistuta, I hesitate to recommend Carnivale to people because of the way it ended, and so I feel I should point out for the OP: Carnivale was planned for a six season arc; it was cancelled after two. Absolutely nothing was resolved in the first two seasons; in fact, they turned out to be mostly set-up for the real story that would’ve come in the rest of the show. If you decide to give this show a chance–and it really is good–understand that you’re setting yourself up for a momentous bit of frustration/disappointment.
Lost probably fits your bill. I haven’t watched it, but it got raves until the ending, which apparently is a letdown
**Alias **would probably be something you’d kinda like. I’d put it on your list, but further down
Maybe Twin Peaks?