I've just watched the first two episodes too. I think I've watched a fair bit of gory stuff too (Got, Walking Dead...).
I think the initial scenes of torture/execution were to set the scene for the times in which they were in, Catholics faced this kind of persecution for merely practising their religion. They almost have nothing to lose by plotting. I assume the episode with the Spanish Inquisition was to show that it happened on both sides, although we had more footage of Catholics being tortured etc.
I thought it was well acted and tense, the scenes and costumes looked good. It's interesting to see from the plotters perspective and what drove them to it. They were certainly times of little religious tolerance and they persecutions of Protestants by Mary I would have been strong in the public's mind.