Pretty much, although there's a quick summary at the start of the first episode of Series 2 to bring you up to speed. If you possibly can try and watch Series 1 first otherwise Series 2 will ruin most of the surprises.
Brilliant stuff. Probably the best thing on telly at the moment. Series 2 is shaping up to be as good as he first. Have to say, whilst I enjoy Sherlock, The Bridge is better for me.