I have! I've actually watched all of them. It's hilarious. There's also the BBC radio series Knowing Me Knowing You with Alan Partridge. It's the same show but in a radio format (this came before the TV one).
If you like the show, you may also like The Day Today (made by the same people around the same time), On The Hour (the radio version of The Day Today), Brass Eye (like The Day Today on steroids), and Blue Jam (a radio show by Chris Morris). I'm a massive fan of all of them.
Oh, not to mention both seasons of I'm Alan Partridge!
The Alan Partridge character started on On The Hour, then was on The Day Today, then got his own shows (KMKYWAP, IAP).
(Edited 5 minutes later.)