What the series does best is recreate the early 20th century in incredible detail. The lavish sets and costumes establish a wonderful period "look," while the dialogue and narration work well together to outline the era's politics, major concerns, and even technology. There's a lot of exposition, but it never feels dry.
Throughout the first half of the series, Reilly changes locations and missions frequently, ensuring that the episodes always feel fresh. The second half is dedicated entirely to Reilly's ambitions in Russia. I'm not sure which half I prefer - they're both satisfying in different ways.
My only problems with the series are minor ones. David Suchet is a great actor, but he's unmistakably European, and it bothers me to see him play a Chinese character in the second episode. I also think Margaret, Reilly's first wife, has a very drippy persona. That might be intentional, but nevertheless, I can only take her in small doses.
Otherwise, this is a faultless historical thriller. Sam Neil really is superb as Reilly; he manages to convey complex emotions while overall maintaining a tough-guy exterior. The supporting cast is solid, and the historical figures who appear, especially Lenin and Stalin, come across as convincing and extremely charismatic.
Perhaps the most interesting thing about this series is that Reilly often employs ruthless means to achieve his ends. This means that he's not always sympathetic; sometimes, the series allows you to hate its protagonist. That's pretty bold TV-making, in my opinion, and I quite respect it.