I wanted to make a thread about this anime a few months ago, but I guess I lost track of time. Oh well.
The Case Files of Lord El-Melloi II is a direct sequel to Fate/Zero. It takes place 10 years after the 4th Holy Grail War, starring Waver Velvet, now known as Lord El-Melloi II. The Fate series has an Urban Fantasy setting, but so far this anime has more of a Detective Mystery setting, taking place in England.
So far, I'm liking it. I like the majority of the characters from the Fate universe, but there's typically not enough material that covers the aftermath of some characters or instances of magic being used in everyday life. The Case Files of Lord El-Melloi II fixes this by focusing upon the emotional impact of Fate/Zero on Waver as well as exploring the potential of magic outside of the Holy Grail War, which is mostly just expositioned by characters in Fate/stay night.
If you haven't seen any Fate, the only thing that you'd want to watch before this anime is Fate/Zero. I've heard from some people that you could watch this anime without Fate/Zero, but the OVA kind of spoils some of the events of Fate/Zero. Then again, it's nearly impossible to avoid Fate spoilers in this day and age.
I don't know if anyone is watching this, but it'd be nice to hear someone else's thoughts. I finished Episode 0 yesterday, and it felt nice to know that there's still a future for my favorite characters and stories.