This show is very hard to compare to anything else. Basically each episode is a 10-15 minute short film, usually with a comedy interstitial or two cut in. Both seasons are on Netflix. I'd probably recommend the episodes "Bummer/Blueberries, " "Subway/Pamela, "Oh, Louie/Tickets," "New Jersey/Airports" and/or "Eddie" from season 2 if you want to get a feel for the show. Basically, not much carries over from episode to episode.
Really good article by Sepinwall
Review: FXs Louie still unpredictable, and brilliant, in season 3
BS Report featuring Louis CK
iTunes - Podcasts - ESPN: The B.S. Report with Bill Simmons by ESPN