Eric Thurm makes a great point at Wired:
The Man in the High Castle is at its best in the moments when the stakes are lowest, when citizens of the German and Japanese states that have taken over the world simply go about their daily lives. Passing a medical facility, resistance fighter and Nazi double agent Joe Blake (Luke Kleintank) encounters what he thinks is a snow flurry but turns out to be flakes of human ash spewed out by a nearby crematorium. An older cop who explains the phenomenon to him wonders aloud why he ever fought against the Reich in the first place; what good did it do? In another scene, SS officer Smith lives in a near-parody of a suburban neighborhood straight out of the American mid-century idyl. Everyone on his street says “Heil Hitler!” with the same cheer we might say “Good morning,” and in their mouths the phrase transforms into a friendly banality.
What makes these moments pop is the way they function to create a believable, mostly-immersive world that’s just slightly off. Nearly everything about The Man in the High Castle—solemn conspiracies, good-looking people running around looking for answers, law enforcement officers yelling at their subordinates—has been done to death on TV. The thing that hasn’t? A fully-constructed 3D edifice of what it would look like if the Nazis had won World War II. It’s a remarkable, if remarkably squandered, feat of world-building.
A curious explanation: too much emphasis on the characters…
That’s partially because TV tends to focus on its characters more than their surroundings. The best series—like, say, You’re the Worst—do both, but too often they simply immerse viewers in a world that’s like ours. Sensibilities might change, but never surroundings. It’s the kind of strangeness manifested in The Man in the High Castle’s perfectly pleasant Nazi neighborhood that has yet to fully be defined in the current prestige-TV landscape. Even shows with potentially rich genre settings, like the faux-Star Trek world of Yahoo’s dearly departed Other Space, often favor their characters over their milieu—it’s a narrative myopia that’s to the detriment of shows’ worlds.
I guess that Twin Peaks was a perfect example of doing world-building right. That show never missed the forest because of the trees, quite literally.