So I ran it today with my group. It went well and we had a bunch of fun. I generally like to get players to make characters at the table together as a group, so we did that. Then we started the campaign that comes in the book and got through the first "episode" of it. The party has not yet encountered anything supernatural, and when they first do they probably won't even know it, so a couple of them were a little disappointed...they expected it to be more horror and less film noir, although that will be mixing up soon enough. So my advice to anyone thinking about starting a DLN campaign would be to set the expectations...there won't always be a horror/spooky/weird element, and there won't always be a noir thing going on.
The books are really nice and well made, and I really like the GM screen and the ability to get PDF+Hardback combos if you order from Pinnacle directly. But I don't recommend buying the action decks. They look great, but their finish is not great - the cards cling to each other and don't shuffle or deal easily.
I did have some trouble finding some things in the books. The index didn't include things I expected to find. For example: there was no obvious section in the book for how much the investigators would expect to earn for their jobs, and there was no item in the index about fees, making money, income, etc. The cases in the book don't say how much the investigators would earn for each job. Finally, we found that under the gear, there were prices for services, which included investigation, but in a context of expenses, not as income. Maybe it's obvious to others, but I had trouble finding it.
Anyway, the group is ready to do some more, so that's always a good sign.