Missed the edit window, CMC. Remember these lines from McMillan & Wife?
Sally: “Maybe we ought to call the police.”
Mac: “Sally, I AM the police!”
Former spy, sneaking up on Sally from behind and clamping his hand over her mouth:
Spy: “Mrs. McMillan, on my person I have three weapons, and I can kill you in less than a second without using any of them. I trust when I remove my hand you will not scream.”
Sally: Eyes wide, nods furiously. 
Avery Brooks as Hawk was the coolest (OK, not a cop, but still), followed by Angel, followed by that Mountie guy from Due South
What? No ones mentioned Beretta and his Cockatoo?
I forgot about him too. 
Beretta was a very cool cop.
The actor that played him got into trouble 25 years later. But, that’s not Beretta’s fault.
yup!
DCS Christopher Foyle. Columbo with an English accent. Redefines the term “iron fist in the velvet glove”
Special Agent Dale Cooper, FBI.
Amen!
Another vote for Jim Rockford. Kept his gun in a cookie jar (mostly).
This week’s lady in trouble: You’re a private investigator! Why aren’t you armed?
Jim: Because I don’t want to shoot anybody.
How about Shawn Spencer of Psych?
He has brilliant powers of memory, observation, and deduction, but he’s also a slacker and a classic underachiever. So he convinces people he’s psychic and opens a “Psychic Detetective Agency” so he can solve crimes without the bother of becoming a cop or having to follow rules or anything. I’d say that’s pretty cool.
Plus, my wife thinks he’s hot.
I loved Harry O! Do you know if the show is available on DVD?
Rebus
Kojak
Bah! None of those are a patch on the master: Sherlock Holmes. 
The Mountie (Benton Fraser, played by Paul Gross) was pretty fine. But Ray Kowalski (Callum Keith Rennie) was cooler…
Going back into the annals of TV PI’s, I’ll go with Peter Gunn. Or the guys from 77 Sunset Strip…
Sergeant Frank Drebin, Detective Lieutenant, Police Squad!
Jim Rockford (regarding his gun): “I don’t shoot it, I just point it.”
He drove the franchise, right into the ground.
cmon, who is cooler than this? He can DESTROY you with…
WORDS!
Yeah, you don’t want Foyle’s icy blue eyes fixed on you. That means trouble.
God, I love that show. Did you notice how Milner limps less as time goes by?
Exactly!
Followed closely. by Det. Frank Pembleton.
That’s my vote, followed closely by Lee Marvin’s Det. Lt. Frank Ballinger of M Squad. Cool and Marvin-tough, with a Count Basie theme.