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.