Well, I say review. I've seen all five films, and don't really understand all of what I saw. I'm afraid I can't really describe a plot, or characterisation; because there's little of that in any conventional sense. I'm not alone, Philip French in The Observer and Peter Bradshaw in The Guardian gave rambling, confused reviews. Trying to describe what the work is about is like trying to describe what The Wasteland or a sequence of Dali paintings are about; there's a procession of symbolism and imagery which each individual piece seems to be coherent, if surreal, but the whole is near impossible to describe despite the feeling that it all somehow fits together.
What I think it's about is dichotomies, and the unification of dichotomies; there's lots of symbolism of birth and death, creation and destruction, masculine and feminine, freedom and captivity. As the cycle progresses, these are unified into a whole. There's much symbolism of this used, actually an almost pagan fetishising, through images representing human reproductive physiology; the pair of ovaries or testes connected and converging into a single tube.
By the final film, genders are blurred, creation is blurred, reality is blurred until the artist-as-magician is hobbled hand and foot in a semi-fetal position and falls from a bridge into the Danube.
The cycle is like a visit to a Museum of Modern Art. A lot of it is beautiful, most is difficult to understand, some of it seems to be meaningless.
Go and see at least Cremaster 3, which stands alone as a film, and was the last one produced.