It's been a bit low energy for me so far.
I blame the Thewlis character, who doesn't have the same charisma or menace as Lorne Malvo or Mike Milligan. He comes of as having the menace of a nefarious bureaucrat, which doesn't really work for me.
And as much I like McGregor and Stulbarg, I'm not feeling the chemistry between the two of them so far. They seem to both give off a similar kind of harmless, just-about-made-it-as-big-fish-in-small-pond kinda vibe. That's fine for one major character, but doesn't create much zap when two of the characters, frequently together, are roughly equally gormless.
Finally, I don't think the Carrie Coon character has contributed anything of note to the show so far at all. I have a bad feeling that she's not going to, either, because she's roughly a similar type of character to those played by Patrick Wilson and Alison Tolman in earlier seasons. She's going to be a straight, moral heart of the season, and as the third one in three seasons in similar roles, it'll be a tough ask for her to add something extraordinary to the role.
I did like that they mentioned Stan Grossman in episode 2 though. That's a nice throwback to the film.