I watched 3-4 episodes when it aired originally last year, but didn't get into it enough to see the rest. However, I'm now house-sitting for a couple months at a place where the ONLY TV channels are the 5 or 6 channels of HBO, so I've caught up with this (and most other HBO shows over the past couple weeks).
My general assessment is that Boardwalk Empire is a good show, but not a great one. I think Nucky is another one of those well-drawn, morally ambiguous HBO protagonists. I also like Margaret's character and didn't really have a problem with her return in the season finale. She really embodies the difficulties of being a woman in that era even with the seeming liberation of getting the vote. The federal agent (I forget his name) is pretty good too.
My biggest problem is Jimmy. At the start of the show, they made a big deal of setting him up as this smart, upstanding guy who was going to Princeton, but got caught up in WWI and came back a different, morally-broken guy. However, as the show played out, I didn't find his character to be appreciably more intelligent or interesting than the various generic mob henchmen that pop up. At this point, he doesn't even exhibit the potential to get to Nucky's level of political savvy or Nucky's ability to recognize and reflect upon the morally conflicted path he is on. Whether he is ultimately going to be a Nucky protege or Nucky nemesis, he doesn't seem to have the ability to really pull it off.