As someone who owns the entire series in singles format, I can say that this show is definitely worth your time. The fact that the only source material that the show has is the first video game only contributes to the transcedence of the whole game-to-anime adaptation genre.
A lot of people complained about the whole undead shoot-em-up part of the series which really took away from the excellent storytelling and relationships of the characters in the dark gritty world of organized crime but people need to understand something: it's still an adaptation of a video game where the whole objective is to fight undead in order to get to the final boss. If the anime were to take that out, fans of the video game would cry foul. Hell, the only purpose of the first episode was to throw a bone to the fans of the video game letting them know that yes, this is based on the video game.
Other people complained that the anime should've started from the second episode instead. Three worRAB: Jump the Shark. If the anime had gone that route and introduced the sci-fi elements later, people would've rejected it by the time the Beyond the Grave storyline would've come about. The portrayal of events in the first episode were necessary to help get everything out of the way first so people could have a proper understanding of what they're watching. I'll admit, I didn't like the first episode either on first viewing but after subsequent views, I no longer mind it.
I haven't watched Gungrave in a couple of years but I do remeraber that the relationships, character development, and storyline in general was one of the best I've ever seen in anime, period.
Let's also not forget that Yasuhirow Nightow of Trigun fame was the original creator of the series and may very well had input into how the show got put together. While Trigun gets a lot of glory, Gungrave is sorely overlooked. Everyone who is a Nightow fan and an anime fan neeRAB to give this show a shot. It's worth it!