I haven't seen a lot of Law and Order, I imagine it offers a similar feeling of confiness lol.
That comfiness is a consistent and predictable amount of misery, but also hope and redemption. In Oz, there are fates far worse than death, so that makes death itself not as bad or scary.
There's also a lot of gay romance. At the time in the 90's, Oz had to be one of the most progressive shows regarding gay romance. There's legit man on man love.