I'm a big fan of both Pegg and Frost, but was quite disappointed by this.
*Beware of mild spoilers*
First impressions were good. It seemed as though they were going to mix horror and comedy, which you don't see a lot, and which would have been interesting. These tones are not consistent, however, and the horror sections often come off as goofy.
I didn't find it particularly funny, but it's hard to grade it on the comedy as that's very subjective. It might be due to the editing, as it makes the characters' delivery seem quite awkward. With the rapid-fire editing of Edgar Wright, maybe some scenes would have worked better. The father-in-law character is the one highlight for me.
The main issue of the show is the egregious plot structure. Plot points keep repeating with no explanation, such as every place they visit having a secret room. A number of important developments rely on pure coincidence. For instance, Frost's character has been listening to a mysterious broadcast for decades. However, he does not track it down. Instead, he just stumbles across the source by pure happenstance during his day job. There are numerous instances like this.
If you enjoy the comedy, you may enjoy this show. If, however, you want a well-crafted story or a consistent atmosphere, you are likely to be more annoyed than entertained.