It's important to understand that this is not the style of a typical Will Ferrell-esque comedy, though the marketing would love you to believe otherwise! Don't go into this if you're wanting Anchorman, in the same way you wouldn't go into Goodfellas if you wanted Die Hard.
The film itself revolves around a self-absorbed Tae Kwan Do instructor, Fred Simmons, played to perfection by Danny McBride in the role that brought him to Hollywood's attention, during the period that his life seems to be collapsing around him. His wife is repeatedly unfaithful, he makes awkward advances on his students, and he works himself into a near-religious fervour over his devotion to his martial arts hero, Chuck 'The Truck' Wallace, whilst all the time Fred remains painfully oblivious to his own self-importance.
There are some classic moments, and as I mentioned previously McBride's performance is excellent. The fly-on-the-wall shooting adds a great deal of realism to the film, and the rough edges are forgiveable for such a low-budget movie. The film does suffer slightly in other respects - in particular, due to the film being centred solely on Simmons, other characters that are along for most of the narrative remain underdeveloped by the end.
Ultimately though, this is Fred Simmons' story, and it is very well told!