The King in Yellow is my favorite horror story, so when I got into playing Arkham Horror, it didn't take long for a well-meaning friend to give me this expansion.
Objectively, The King in Yellow keeps to the high standards of the Arkham Horror game. The good & the bad are well-balanced. There are lots of new horrible things that can happen (events, etc) and lots of wonderful new spells and items to use in battling them. Two major new mechanics are introduced: the Herald (kind of a mini-Great Old One that makes the game a LOT harder) and the 'Acts' of the King in Yellow play. Essentially, at points in the game, you draw 'Act' cards. Either you react immediately (by taking a stiff penalty of some sort) or you move one step closer to losing the game.
Like with the other expansions, there are various ways to use the expansion. My preference is to mix the cards right in, but if you're finding the game too easy (which means you're a strategic genius the likes of Sun Tzu), you can highlight the expansion elements in a way that's guaranteed to make the game a LOT harder.
Subjectively, I'm madly fond of the content of this expansion. The King in Yellow is a mystical play (like the Necronomicon on stage!), and the expansion does a great job capturing the tone & fluff of the story created by Robert Chambers.
A lot of fun - highly recommended.