I didn't see the whole thing...whatever the first segment was, I missed it entirely. My friend was nice enough to rewind the second (on Hulu) part with the zombies a little so I could see most of it (I'd gotten there late and they got impatient), and I was too nice to tell her I didn't want her to do so. It wasn't quite as cancer-inducing as the third Sweeney Todd part, I'll give it that.
But, I remember some worse ones. The specials with the Y2K and "zombie cowboys" segments (and I am talking the whole special in each case, not just those segments) weren't just particularly bad "Simpsons," but just plain awful television to me. At some point, even when I was still watching that show, I came to accept that THOHs were always going to be extremely mediocre at best, and quite often much, much worse, even if the season itself was still okay overall. In fact, not speaking for this special, but Futurama's two previous "Anthology of Interest" episodes I would take quite readily over even most of the older THOHs (the Mirkin ones and possibly the very first being the exceptions). Most of them, even then, just weren't all that great IMO. And the later ones are frequently unwatchable.