Ouch, you really know how to hurt a person ;-)
Actually, the show itself punishes you for getting seduced by Tony's primitive worldview (as Joanna notes, Tony's shrink resists this temptation). You start thinking, well, Tony isn't so bad -- he looks out for his family, has a sense of honor, helps to deliver justice when the law fails, etc., etc. Then -- shock and horror! -- Tony or one of his crew inevitably commits some depraved act of sickening brutality. The viewer is starkly confronted with evil of almost unbearable intensity. It is a very disturbing experience because the viewer has become almost a buddy of ol' Tony, an admirer of his worldly ways and sharp intelligence. In a sense, the show tempts and corrupts the viewer, then shows the viewer the hellish price of this corruption. The Sopranos in no way "romanticizes" gangsterism, as you allege.
(I will admit that Tony's transgressive ways have lured me into feeling completely insouciant about repeat overposting.)
Carl