The creative team that brought us Police Squad - and the Naked Gun derived from it - said in interview that they were told by their network contact that the show would be canceled, after their delivery of the first episode. Basically, the show was never given any chance. Typical Hollywood. The contact apparently told the team that the problem with the show was that, for the show to be funny, the viewer would actually need to watch it; most shows are presented on TV with the understanding that the viewer needed to get up and miss a few minutes while getting food, or going to the toilet, etc.
The humor of the show is extremely dry (it uses no laugh-track), and the universe the characters inhabit is one in which anything can happen, regardless of logic, as long as it was totally unbelievable; so, for instance in one episode a surgeon has to bribe an informant on the street in order to get a tip on heart surgery.
Those familiar with the Naked Gun films should be warned that there are a number of interesting disjunctions between the show and the films. In the films, Nielsen developed a particular "take" approach - that is, eyes widened when confronted with the unexpected. This doesn't happen in the show, where Nielsen's Drebin is the center around which the rest of the universe revolves - nothing is unexpected to him. Also, there are no romances in the show, and no parodies of MTV. Finally, the show takes certain risks that the films avoid; in the first episode, Drebin, to "re-enact the crime", has a squad of homicide detectives shoot each other from a number of different angles - ballistics the hard way. This is actually a risky bit of humor, since we need to accept that it's perfectly normal for policemen to kill each other while investigating a crime, for no other reason than experimentation. This sort of thing rarely happens in the films.
Taken individually, each of the episodes is actually funnier than any one of the Naked Gun films, since they are both more compact (more happens in a shorter time-frame), yet more leisurely paced (there's not the rush for a punch-line as sometimes happens in the films). There are some inconsistencies that happen in the films (primarily "2" and "3") that never occur in the show's shorter time-frame.
Of course, there's no doubt that Naked Gun (the first film) is one of the great comedies of theatrical cinema. And if you watch the TV show episode after episode in one sitting, the dry quality of the humor might wear away one's tolerance.
None the less, it would be useful to have a DVD of this, and watch an episode a day for a few weeks - If laughter has, as some claim, medicinal value, watching this show is good for one's health.