If you're a fan of modern British comedy this show is a highlight of the last decade.
You have Simon Pegg and Hark Heap, just before they went off to make the incredible Spaced. Graham Linehan and Arthur Matthews just after Father Ted and before Linehan made Black Books, Kevin Eldon fresh from Brass Eye, and Catherine Tate before her (imo) underwhelming solo series.
The sheer comedy talent is eye watering and the first series is absoltely hilarious (second series drops to merely mortal standard, it has to be said). Highlights like the Evil Hypnotist, the Artist formally knows as Prince, and the no masturbation in the office sketch are sheer genius. In my opinion this is Linehan and Matthews at their best, getting to show off a massive range of ideas.
I find it hard to sympathise with reviewers who loved Spaced but hated this: to me Big Train is so perfect because it is a concentrated and distilled mix of everything (and almost everyone) that has been wonderful in British comedy for the last decade.
It still stands up as containing the cleverest, most surreal sketches we've seen. Later series like Smack the Pony softened the format a lot, while Little Britain went for less intelligent (but more accessible) writing. Big Train is the best of the bunch as far as I'm concerned, and even if you aren't blown away by the humour, it stands as a great early ensemble piece from an inimitable bunch of comedians who can (and have) now commanded their own solo series.