Incredible series. I have the GB set, and if you've never seen it, it still holds up and feels fresh today. I can't recommend this series enough. If you liked Alan Wake or Deadly Premonition then you'll get a lot of the influences from this show on those games.
Also, it's one of the only shows I've known to combine practically every genre and combined it into one great piece of work. At $36, you absolutely can not go wrong.
EDIT: And to Vigilante, I don't see how this series could warrant anything above TV-14, honestly TV-PG is more like it. It hardly has any foul language at all, the violence is kept to a minimum, and there isn't all that much sexual. There is some sexual stuff, but there is no nudity and most of it is implied. It came on CBS in the early 90s IIRC, so it's very tame. It's like a Disney movie if you compare it to something like Dexter, The Sopranos, Spartacus, True Blood, etc. I'd give it about the same explicit content as LOST.