I remember this show from when it first aired and I loved every minute. If you like Bill Baileys eclectic style, you'd love this show. It's quite similar to his stand up DVD "Bewilderness" and I think there may be a couple of jokes or songs used in both. But it did have loads of songs and routines that I haven't seen him do elsewhere. Another great thing about this show was the sketches (many of which featured the also great Simon Pegg) which were as hilarious as anything else he's done.
I'd love to see a DVD release of this, or even a TV repeat. However I don't see it happening so I recommend if you can in any way get your hands on a copy of an episode that you do so straight away.
*Update: A lot of the stand up sections of the show are also in 'Cosmic Jam' released since my initial comment.