I agree with Kraichgauer. I think our interests are naturally drawn to the dark side of humanity, and whether documentary or drama, it often makes for a compelling and thought-provoking watch. This is especially true of media which attempts to examine the humanity of psychopaths: mafia bosses, serial killers...as much as we want to think of them as inhuman monsters, they're still flesh-and-blood people with (skewed) human emotions. I don't think it's necessarily "glamorizing" to explore that area of psychology, but, of course, it depends on the media in question.
Admittedly, I haven't watched 'The Sopranos', but to use another comparison, I have seen all of 'Boardwalk Empire', another show which follows the mob and organized crime. The protagonists are all criminals and murderers, but the show never explicitly makes them out to be "good" people: sympathetic and engaging, sure, but merely interesting, not "good". The overlying moral is almost always "crime doesn't pay" and few, if any, of said characters make it through the series without being murdered or having their lives destroyed.
However, then you have games like 'Grand Theft Auto' which I would argue do glamorize organized crime, but that's another topic altogether.