I still have only watched through Season 3, but it's a pretty good series. It's not on the level of "Sopranos" IMHO, but there are some good moments. I really like the mixture of real characters from history with fictional ones.

I completely agree with TIS that Jimmy Darmony's character was phenominal. His death was a great moment in the show, but for selfish reasons I wish that it came much nearer to the end of the series. And I was also stunned when Nucky's Irish bodyguard (name escapes me) was sent back dead in a crate.

Other than Jimmy, my favorite characters are Chalky White and Richard. And former FBI agent Nelson is completely off his rocker, but makes for a fascinating character.