I finished watching it less than an hour ago, which I mention because my initial reactions are always subject to revision and often in fact are revised when the dust has settled, when the immediate impact has passed. But I'm going to register what is apparently a minority opinion: I think it's really good, maybe even, in its very different way, as good as Series 1, which is extraordinary.
Yes, the plot is madly complicated, and I got lost. There are too many characters, at least for me, so that as it went on I frequently stopped to ask my wife "Wait--now, who's he? Why are they talking about him?" And as often as not she didn't know either. I can criticize a great many specific aspects of it.
Nevertheless, the broad outline is pretty clear: some very flawed characters trying to get to the bottom of crimes committed by much worse characters--not just crimes, but a whole network of crimes and corruption. And I found it in the end quite moving. I think it can be ranked with the great noir novels and films: with Hammett, Chandler, Macdonald, The Maltese Falcon, Chinatown, and others. The fact that it's set in California makes me wonder if the show's creator, Nick Pizzolatto, was consciously courting that comparison. In any case, I think this work belongs in that company.
If you liked Series 1 but are wondering whether you should bother with Series 2, well, my advice is: yes, do bother--see it. And I'd be interested in knowing what you think.