Yeah, it's my favorite show too. HBO puts out a lot of quality shows, and with Scorsese involved, I expected it to be excellent, and it is, so far. Character development has been very good, particularly Nucky and Jimmy, but also Jimmy's mom, and his bi-girlfriend, and Margaret Schroeder, and that bizarre (self-flaggelating) federal agent, too.
Eastbound and Down is okay, too. Not near as good as Boardwalk Empire for me, but my son likes it better.