Solid show. But it was never going to be as magical as Northern Lights, because Northern Lights is one of the best things ever. The events aren't too different from the books, but the characters can be quite different. I love the show's depiction of Asriel, and later on Boreal. A few character changes didn't work as well, but that might just be me.
The main issue is that we didn't get enough of Lee or Iorek. A lot of the magical things were sacrificed for more fleshed out political things, more of Mrs Coulter and the Magisterium, which I personally don't like, as a big fan of magic, but who knows, perhaps you like to see lots of evil church men. I feel like there was a lot of time spent on 'oooh, evil church men,' which could have been spent on better things. And there wasn't a particularly deep exploration of the Magisterium, despite all its extra time.
Overall, you're better off reading the book, at least for Northern Lights/Season 1, but the series is still worthwhile for the different characterisations and Hester's awesome voice acting.
I'm looking forwards to future seasons, because the next two books aren't so dauntingly spectacular, and I reckon the show can improve in more places.
Oh yeah, I forgot to mention Lyra isn't the same. But it's virtually impossible to properly get Lyra outside the medium of writing, so I didn't hold it against the show.