I've seen every episode of the first 3 seasons, and the movie, all of which I loved. Pembleton and Bayliss are probably my favorite characters. I just love the relationship between the two characters. My favorite bit of dialogue between the characters is when Bayliss (who is not a Catholic) talks about how he went to a Catholic Mass once, and he was so hungry by the time it got to communion that when he went up to receive it, he had to ask for two wafers instead of one. And Pembleton (who is Catholic) says something like "You got communion? You're not Catholic." And Bayliss asks "Is that bad?" And Pembleton says "If my god wins, you're going to Hell." It makes me smile just thinking about it. It makes me think there must have been someone on the writing staff at the time who was Catholic, because it is a surprisinly not well-known fact that non-Catholics aren't supposed to receive communion at a Catholic Mass. Which might sound unfair, but you have to consider that Catholics are not supposed to receive communion at non-Catholic church services either. But anyway, it was a joke based on a part of Catholic doctrine that even a lot of Catholics seem to be unaware of, which I enjoyed immensely. It was something akin to when they'd make some obscure reference to Catholicism on MST3k. (Like the "It's Liberation Theology verses Opus Dei" comment during Future War.)
Incidentally, has anyone else read Homicide: A Year On The Killing Streets by David Simon? It's the book on which the show was based.