True Detective is quite good. It's written well, delivered in a languorous and depressed atmosphere, shot that way (except for the frenetic action sequence at the end of an episode that was... awesome too, but like watching a baseball pitcher throwing 12-6 curveballs all day and suddenly he remembers he can throw it 100mph and throw right by your face all day too).
What I think I've concluded is that it isn't a mystery. It's a cop buddy show. The pieces for mystery are watching them try to figure out how to get along long enough to figure out their case. But we've seen all the pieces already and probably figured it out after episode 3 or 4 (where the Carcosa/Yellow King references started to pop up in earnest, they've only built over time).
The show is not some sort of metaphysical bullshit like Lost apparently was. So I don't expect a smoke monster or a polar bear to show up or some such. What I would expect is this
1) One or both is going to end up dead or will be revealed to have been dying anyway. They're bringing in a new duo for the next season so this is the most logical ending.
2) This will not be a "good" ending. The case probably won't get "solved". The child sex abuse ring they're trying to break up, it will most likely continue. It's possible some of the key figures (lawnmower man?) will be dead, but that's as optimistic as this show should let anyone be.
I'd be more suspicious that hardly anyone dies from their crew. It's clearly been going on for decades and if there's one thing the show hints at, it's that change is unlikely, or circumstantial at best. (Note: Marty and Rust are not going after these guys to arrest them, that much is obvious as neither are cops). Be warned that many people may come out like the Red Wedding or Baelor from Game of Thrones and be highly pissed.
3) They may tie this into Marty's kids somehow, probably in a way we won't like very much. There haven't been many throw away scenes and those are just so obvious that something, somewhere, happened there.