Jimmy's fling with the politician lady...

She was a political campaign strategist, not a politician.

Well she was working for the mayoral campaign of Carcetti, and she does try to get info out of McNulty and he leaves her.

Apart from that? Just another way to advance his character. Womanizer but also has integrity when it comes to his police colleagues. Just my take.

McNulty: I feel like I don't even belong to any world that even *beep* matters.
Kima: 'Cause you're a cop?
McNulty: Nah, it's not just that. It's like, I went to meet her once; she was in a hotel room on the top floor. I punched the button on the elevator and it doesn't even go there. You gotta have some kind of special key to even get to that special *beep* floor. So I go to the front desk, some sneering *beep* calls upstairs, gives me permission to go and get laid. I listen to the *beep* she talks about and it's the first time in my life I feel like a *beep* doormat. Like anyone else with any smarts would do something else with his life, you know? Earn money, or ... get elected. Like I'm just a breathing machine for my *beep* dick. I'm serious; I'm the smartest *beep* in three districts and she looks at me like I'm some stupid *beep* playing some stupid game for stupid penny-ante stakes. She *beep* looks through me, Kima.


this illustrates Jimmy's understanding that he, in the grand scheme of things is not always the smartest guy in the room...