I haven't followed it from start to finish, but caught a few episodes back in the UK last year and enjoyed it.
I'll probably do the same and order in box sets and watch it right through.
Got some other series to get and view first.
The pecking order is: Boardwalk Empire Season 1 (to finish), Game of Thrones (all seasons), Dexter (all seasons), Boardwalk Empire (remaining seasons) and then maybe the later seasons of Wired (saw the first season and have been told the others are better). Following that may take a look at Mad Men.
So plenty of viewing to get through, but not enough time.