I enjoyed the series. I think Woody Harrelson was also good. His role was acted more subtlety, but just as good. McConaughey just had the more interesting role.
I think the series took inspiration specifically from The King in Yellow, not just cthulu and associated mythos.
More discussion, but SPOILERS(highlight text to see):
I was disappointed they didn't bring more of the mythos of the King in Yellow into it. They wrapped things up with a simple, paraphrasing here, "some bayou voodoo shit." There was all these reference to the King in Yellow. Carcosa, the name itself, and then cryptic references to his powers. But it was just a serial killer. At the very end there is an image McConaughey see's in the 'temple' of the killer, a swirling cloudy cyclone taking up the entire screen. Its only there for a few seconds, he makes a quick reference to it at the end. Yet that's it really, of anything mystical/uncanny/etc. They could have done a lot more. If there is going to be more mystical aspects in their next season they should have at least made more subtle references. The series as it stands now seems like the writer(s)/producer/creator just thought the King in Yellow was a great collection of stories and wanted to put some references in. Which takes you out of a story instead of making it more interesting/giving it depth.