I came to Psychoville slowly but by the end of the series being broadcast, was totally hooked -- and am now buying the DVD to enjoy it again, and see the bits I missed. I've never really got into the League of Gentlemen, but I adore Psychoville. It manages to be very, very funny but also gothic and scary at the same time.
My favourite bits include the eternally down at heel clown Mr Jelly; Dawn French in the best role I've ever seen her in, as the psychotic nurse; occasional appearances by Christopher Biggins, sorry Biggins; and poor old David, who never quite takes to murder but whose mother finds it to be a wonderful new interest. The scene where they do their special dance to relax in the middle of one murder is just wonderful.
I was delighted that the ending was open-ended -- I hope that means another series?
My final recommendation is that you try to watch Psychoville during a thunderstorm -- which I did, by chance, one week -- it really adds the final touch!