I just finished working my way through this series on dvd.
Boy howdy, it's good!
The show follows a couple of brothers who are monster hunters. Their dad has gone missing chasing some creature and the wayward brother who left home to get away from that life is pulled back in.
The show starts as a monster of the week style, but as the series goes on a fairly compelling plot is built up. It's fairly uncompromising horror, too. The stuff they fight is creepy, nasty and often gory. The writers don't go as crazy as usual when working with existing stories and traditions, which is nice.
What makes it work is the very, very good actors playing the brothers and excellent scriptwriting. The direction is generally good, hand-held camera/horror movie style. There's plenty of nods to horror classics all through the series, as well.
The relationship between the brothers (and their absent father's influence) is convincing and interesting. A lot of the dynamic is built around the fact that the younger one, Sam, left to go to college instead of continuing the family tradition of hunting monsters, while Dean stayed on helping their father. They do a lot with this, not all of it obvious.
At the end, they have perhaps the most intense series-end cliffhanger ever. Lucky I didn't watch it when it first played, as the wait to see what happened next would have been very painful.