I'm enjoying it. I like subtitles as I have hearing issues but I find it can help make things a bit clearer, what's being said, if there's a lot going on, low voices etc... in things like this.
You really do need to watch from the beginning (season 1) if possible as they do carry things through all of the series' and you'll miss out on quite a few references and links otherwise. They have them all on iPlayer at the moment.
Just a couple of examples in this episode being who the lady police officer pointed out in the photo in her interview, having come across Hargreaves before, all the references to H, a reference to something that happened previously to Steve. Same in the previous episodes, references to people/happenings from previous episodes. It really helps if you've watched them all through.
There aren't that many episodes per series, and they're so gripping.