I've heard great things about the show. It's got about the most interesting premise I've heard in a long time, and the fact that he used "Patrick Bateman" as an alias in a show (so I've heard) is pretty sweet.
I don't have Showtime, but I'll rent these when they come out on DVD.
It's been showing on FX in the UK over here, and I wanted to see it, but I kept forgetting about it so missed the start, and don't like to watch a show part of the way into it.