The Mistborn world has great worldbuilding (as does all Sanderson writing) and a really cool magic system. Magic users are able to burn specific metals inside their body to produce very specific effects. It ends up being weirdly precise and scientific while being awesome at the same time.
The last book in this series, Alloy of Law, was a jump forward from the original trilogy. The events of the first trilogy are mostly myths and legends now. The world has advanced past the medieval setting and is made up of mostly western and early 1900s type settings. Basically an entire set of new characters were introduced.
This book, Shadows of Self, starts to bring the old and new series together. Characters and events from the first trilogy begin interacting with the new cast.
I didn't really like the western setting of the previous book, but this one takes place in a major city and feels more like an alternate early 1900s. It's a setting that I still don't love, but it's much more appealing than western.
The characters, locations, and situations from the original trilogy start to line up and interact with the new ones. It started off a little slow but by the end I was completely hooked and torn through the last third of the book in one night.
I love the magic system and underlying story ideas in the Mistborn series. I'm really tempted to go back and re-read the original trilogy after finishing this one. But, I think a new one in this series is due out soon so I'll probably wait for that instead.
I would still recommend this series for sure, but this isn't the place to jump on board. If you're more interested in a fantasy setting go back and check out Mistborn which kicks off the original trilogy. If the fusion western/industrial revolution setting sounds more like your style then start with the book right before this one, Alloy of Law. Either of those are great places to get started with the Mistborn series.