I've seen a little of it, it looks interesting. The local (St.Paul) paper carried an article on the editor of the Luverne MN paper that Burns quotes from in the documentary, he compared his writing to Mark Twain's.
I missed the first episode because I was watching "The Hillbillies" on the History Channel - which had a nice segment on the building of the Clinchfield RR, showing historical pics/footage and current day CSX trains.