Short, spoiler-free, haven't-read-the-book review: It's always interesting, though for different reasons at different points, and sometimes brilliant, although a lot of that brilliance is concentrated in one section.
Longer review (containing deliberately-vague spoilers) ...
The show starts a little slow, but with a lot of work to do. It sets up a very detailed world wherein not only do the Axis Powers run the world of the early 1960s but where some seemingly supernatural mechanism is leaking 16mm films of our world into theirs and showing select Castle-worlders that another way is, and always has been, possible. The broad strokes of this are done well, and carried down to the character level pretty nicely, setting up life choices between collaboration and poverty, between tolerance that might be weakness and hate that might be strength, and between two forms of sentimental-but-deadly totalitarianism.
But the characters themselves are a little hard to hold together in those early eps, being very much pieces that need to move around the board so that the bigger picture can take shape, rather than really feeling like their actions come from within them. This is all forgivable (and common to a lot of epic stories) but it was the reason that my initial impetus to watch the show petered out almost a year ago.
The second half of the first season, however, comes together in surprising and striking ways. Various "villain" figures of the Empire and the Reich prove to be a fascinating jumble, with bad intentions leading to (relatively) good results and good ones taking the world closer to apocalypse, while the lower-level protagonist characters are tested again and again as to what they find important, and what the otherworldly magic of the films means to them.
So the first season ends with profound events and an even more profound sense of possibility...which the second season is not able to live up to. It continues to be very interesting in the world building, particularly in carefully showing how Nazi or Imperial attitudes are both like the U.S. conservative ones of our world and yet unlike them, and the machinations of the plot are clever in a Dune / Harry Potter threading-the-needle-of-prophecy sort of way. But the protagonist characters again drift, and while drifting engage in quite a bit of Lost-like "now I'm on this team and you're on that team, now we switch" behavior. And the titanic 1st-season villains indulge in behaviors straight off the dumb side of the Evil Overlord playbook.
But just as big a problem, for me, is that it loses a lot of the magic. The films worked so well in the first season because they were this profound metaphor and statement, that the multiverse would not allow such a dystopia to exist without passing judgment on it and offering a way out, if only for the imagination. I imagine it's also a metaphor for the power of speculative fiction and counterfactual history. But as the 2nd season goes on, the use the characters make of them turn them into mere objects in service of a con game. It reminded me of Neo's ability to fly in The Matrix movies: In the original, it's a symbol that he transcends the false world he's in; in the sequels, it means he's a kind of low-level comic book superhero.
To be clear, though, the show is always better than the Matrix sequels, and a lot shorter than Lost. So I'd strongly suggest watching the whole first season and even peeking in on the second. Such a vivid picture of the road not taken is a rare and magical thing.
SPOILER-y questions for comments: Having not read the book, does it make clear how the movies prior to the last one "appear"? (I have theories but the show seems to leave it completely unexplained.) And does it explain the title-character's name? (I'm assuming it's drawing a parallel between him and his nemesis/partner-in-movie-watching, given the latter's oft-referenced vacation home.)