I'm currently reading this actually. And yes, it is massive but a pretty quick.
I have really enjoyed it. It is also incredibly helpful in connecting the fictional characters and situations in WSB's books to the real life individuals and occurrences that inspired them.
I always thought that Big Love was kind of the sister piece to The Sopranos. I don't know if liking one show will mean you like the other, but they both dealt with complex male leads dealing with morally gray areas.
I've always loved the Red Night trilogy. I found the Western Lands to be a little slow and dry, but I think both Cities and Dead Roads show a very developed, mature side to Burroughs.