I read it in two sessions...I read the first half, more or less, a couple nights ago at work. Then today I went back and reviewed the first half, because I was starting to see all the connections. I finished it today.
My only complaint, okay, my only two complaints are that the ending felt rushed to me. Also, while the artist managed to include a ton of information and recurring motifs, I wasn't thrilled with how he drew the female characters, at least in the first few issues. I thought Sally Jupiter was a transvestite. It got better, but I had some problems with the art. For example, I was convinced that Rorschach's secret identity was who he turned out to be, but when his face is revealed for the first time, I thought, "Oh, it's NOT him...the hair color's the same though, which is weird."
But otherwise, I'm all kinds of impressed. It's one of the best things I've ever read about the world as seen by the Boomers. Also, I like Moore taking the overly-moral genre of comic books and creating a purposefully non-moral comic book. Everything is shades of grey.