Think SNL with a smaller, more talented cast, better writing, being allowed to let loose (because they're on HBO), and having everything flow together in the show. Meaning that the first segment has a tie to the second, which feeds right into the third, and so on.
Also, for their time, they were right on top of current events, and did spoofs very well. Their spoofs of white R&B acts (Three Times One Minus One), and Jeepers-Creepers -- Semi Star were so funny that I missed the rest of the show, I was laughing so hard.
Honestly worth the 900 points on the site, try the first release, seasons 1 and 2 to start.