I think Bands of Mourning was the best paced and most consistently interesting in this set of Mistborn books. I'm sure that part of that is because it ties into the previous book so well and builds on it. I didn't feel that way nearly as much between the first and second book.
Bands of Mourning finds the main characters needing to leave the central city where they've spent the last book and go investigate what's happening in the wider world. They're looking for a legendary item, the Bands of Mourning, because it could have a power that would change the world.
While I still don't love this alternate history early 1900s type of setting at this point I really like the main characters and I want to know what happens to them. If you've read Alloy of Law and Shadows of Self you are probably equally invested in these characters and you'll get a lot out of Bands of Mourning.
I thought this might be the last book of the second Mistborn set. This book leaves off after telling a complete story but leaves just enough information dangling to the point where I really want the next book now. There's an author's note at the end that says book four will be the final novel in this second Mistborn era.
I really recommend the Mistborn series as a whole, although Bands of Mourning isn't the place to start. The best jumping on point is either the very first book of the first era titled Mistborn or the first book of the second era titled Alloy of Law.
I continue to really enjoy Sanderson's writing. I'm always excited to read what he writes next!