There’s not really much to say here other than that Nic Pizzolatto and HBO have done more interesting things with the material than the original author.
I only heard about this because it turns out to be part of the mythos, if you will, for HBO’s True Detective; Amazon jumped on the bandwagon and made the Kindle edition of The King in Yellow free a few weeks back, and so I snagged it to read on vacation. (It’s still free, if you want to sample it.)
Honestly, it’s kind of bland, and not really worth your time. Only the first few stories even reference the titular King, and in those it’s generally in a very Lovecraftian thing-you-should-not-know sense. My advice: skip it.