It's fair to say that first full year shaped Wenger's Arsenal career, suddenly, we were a challenger in the league again. We were winning Cups again, after a few years of poor players and terrible performances, scandals with our manager and players that took the club's image into disrepute, we were now kings of England. The double showed that Wenger was a top manager, as good, maybe even better than Ferguson. Arsenal were competition and didn't everyone know it.
After the 1999 season, where Arsenal came so close but yet so far as the cliche goes, three more straight second place finishes came, Wenger still got Arsenal close to silverware, their first European cup final since 1995 ended in penalties, Arsenal lost. The 2001 FA Cup final was dropped in the final minutes after goals from the best striker in the world at that point (yes, Michael Owen). We were losing out in the league by a large margin (coupled with a 6-1 away defeat to Manchester United in 2001 which really did embarrass us, perhaps more than the 8-2) but we were still contenders.
When the Summer of 2001 rolled around, Arsenal got in Sol Campbell, the greatest move for a defender ever made in Premiership history and when the 2001/02 season ended Arsenal welcomed back the Premiership and FA Cup to their trophy cabinet, it was Arsenal's third double, Arsène Wenger's second.
Undoubtedly Arsène Wenger's greatest achievement is the season of 2003/04, the season unbeaten, but that was the last time Arsenal won the title, and the last time in a while they have ever looked convincing enough to do it (without the unlucky 'break' in 2007/08).
What I'm trying to say is, Arsène Wenger is a victim of his own successes. He has set such a high standard at our club and when he can't achieve it due to ridiculous finances at other clubs we all get on his back. Let's support the man who gave you those glory nights in 1998, 2002 and 2004 rather than ridicule him for a game that's gone further than any of us could have imagined.