A friend of mine gave me _Blue Horse_ and I think it's fun but I don't think they're great. I don't even think they're very original, possibly because Texas has such a proliferation of mixed-genre pop/folk/country music that they don't stand out. This might also account for why they aren't better-known here; we just don't need them.
The only people I know who listen to the Tanyas are also into Ben Folds, the Cocteau Twins, Will Oldham, etc, not folk. They mostly sound like the campus bands we had in college that wanted to be in a folk band because it was cool but couldn't really escape the secret desire to be cute pop-chicks. I hope they sound better in real life because they don't sound like much in the way of singers in the recording (it doesn't take much to pull off "Oh, Susannah"--I thought they were using the quirky phrasing to make up for average voices).