I think that, with Hank's case, it was more something that he doesn't want to believe. Walter, his brother in law, being the criminal he was chasing all along. Also, Hank knowing Walter and the way Walter behave, I think he didn't look at him that way.

For me, the Wire was better than Sopranos, simply because you have people involved from the lowest ranks of drug dealers, to the highest state politicians.