To a certain degree, this concept has been done before - but the Conchords have been able to fine tune their gags on stage, and from the first show it's looking like they've managed to hold it all together for a static audience.
In typical antipodian fashion, it's remarkably understanded, and the jokes are subtle and accessible. Think a Seinfeld-esque sitcom (lots of genuine situation jokes) mixed with a night on the karaoke. Expect a degree of cringe, because having two grown men with non-american accents singing about their feelings (for each other or about the fairer sex) in a folk-like manner may seem a little contrived and stupid. If you're willing to not take it too seriously, you should be giggling all the way to the closing of the show.