This was a good, basic introduction to the story about Herman Webster Mudgett/H.H. Holmes, but due to time constraints necessarily glosses over some fascinating background details. As with stories about Jack the Ripper, you can accomplish just so much in a two hour or less running time. This documentary film stands well on its own merits, with some amusing but not distracting faux-period conceits. The ever-so-slightly-creepy narration by the late great voice actor Tony Jay was eargasm worthy. He was really good.
As other reviews have suggested, if your curiosity was piqued by this documentary, read Erik Larson's book "The Devil in the White City". If you enjoyed John Berendt's "Midnight in the Garden of Good and Evil" and "The City of Falling Angels", Larson does for 1890s era Chicago and the World's Columbian Exposition what Berendt did for Savannah and Venice, in weaving together fascinating threads about locations and personal stories of the people involved into a detailed tapestry. Besides revealing Mudgett/Holmes as one of the very few truly interesting and intelligent real life serial killers, Larson's richly detailed Chicago World's Fair milieu reveals just as much about America on the verge of the 20th century. If DiCaprio's movie project can successfully convey the full flavor of the book, rather than just another tale of a serial killer, it will be quite an accomplishment.