24, Lost, and The Shield are probably my three favorite shows right now. They each have different kinds of continuity. 24 being the heaviest, then Lost (b/c everything so jumbled up), and then The Shield.
There are major character elements that hang over from season to season. It's a natural progression of the character development. Each season kind of has its own self-contained arc. As well, some episodes each season have their own respective individual self contained stories. But then there are a couple of story arcs that are still up in the air from the beginning.
It's a fantastic show! It's as good as anything on, and as a whole better than FX's other shows, namely Nip/Tuck & Rescue Me.
Nothing like CSI or CBS anything! I highly recommend it!