It's a great show that really defies classification. While it mostly goes for humor, there are numerous genuine moments of fright, awkwardness, sadness, anger, friendship, and unrequited love that are extremely poignant and insightful. While he's a well-to-do person in entertainment (since he's playing himself but in semi-fictionalized or completely made up but fairly realistic circumstances, for the most part), many of his experiences ring true and are things we can all relate to. You felt his frustration when he couldn't build a friendship with the guy in Florida because it had become weird. You felt his fear for his daughters when they were confronted by muggers (or worse) while out walking the streets. You felt his pain when the woman he loves didn't return that love and left to be with her ex-husband. You feel his anger and desire for punishment against a bully turning to sympathy for the kid once you see his homelife. You feel the constant mix of frustration, disappointment, pride, surprise, anger, and love he feels toward his daughters.
It's a surprisingly complex show for lasting just 22-minutes a week and often consisting of nothing more than unconnected vignettes. I think it captures the best aspects of his standup act: the candor, the willingness to embarrass himself and show the good along with the bad, and his every man qualities, even when he's doing things most people don't do.
I highly recommend the show to anyone who hasn't seen it and doesn't mind some pretty raunchy dialogue.