You really should, their series is great up and untill it features some of the people from original roster. It was composed mainly on b/c list villains, and they are pretty well rounded & beleivable personality wise, as well really nice on the shades of grey / anti-hero vibe. Writing is pretty solid.
Nothing like the Suicide Squad, and the setup is quite different. I think MARVEL have their own version of SS type team, and Thunderbolts isn't it, at least not untill some later incarnations.