Bunny was one of my favorite characters too and I'd agree with you it's the most thought provoking3 is the most thought provoking because of Hamsterdam. And Bunny Colson became one of my favorite characters.
4 is the most tragic because of Michael and his friends. It's also my favorite.
5 veers off a bit with the whole fake serial killer newspaper angle but still wraps the series up nicely. And Gus, the editor, also became one of my favorite characters. BTW I worked briefly with the reporter that David Simon based the crooked Scott Templeton on. Needless to say he was a slippery dude.
I'm 3 episodes into 4 right now