My initial reaction to a television show called Penny Dreadful was very skeptical. How could it retain that sense of darkness and be entertaining? What characters would the show use? What stories could be stretched out from short form comics/stories into full-length episodes lasting nearly an hour?
My reservations were alleviated when a trusted friend told me the show was great and that it made use of its time and setting very carefully without resorting to any modernism and 21st century reference-style humor. The characters are introduced gradually and with care, and their motivations are as twisted as they are clear, undeniable, and often-scarily relate-able. They're not situations we would literally find ourselves in, but hypothetical musings of what it means to be alive, loved, wanted, hated, and forgiven. Mysteries within characters and the plot develop with not quite a slow burn but on a warm simmer, and a joke or unexpected flash of humor keeps the tone from becoming too damp, which is always a pratfall for any show pushing this dark.
However, such a show with a smaller episode-count (eight in total) is understandable but a bit disappointing, as are the extras(read: production diaries) which seem directly lifted from the website and without commentaries or much of anything else, particularly with the writers or actors/actresses of the show.