I am impressed so far as well, the atmosphere is conveying "imminent doom" quite well. Though time will tell if this final event is a bust or if it ends awesome.
I haven't really been in Ul'dah much when I have logged on though. I've been traveling around getting screenshots of my favorite areas with the nifty weather/effects, which is both fun and dangerous due to the hordes of Deepvoid mobs camped at some camps at some times, not to mention all those darn Imperials that are swarming around some areas.
It would be neat if the threat seemed more apparent in Gridania and Limsa, too. Gridania seems to get Deepvoid critters hanging around from time to time, but they don't have a minor monster infestation like Ul'dah does. And I didn't see any monsters in Limsa, but perhaps I just missed them.