The first episode begins with an exploration of the Italian Baroque style beginning, as the title might suggest, at St Peter's Basilica then taking in such gems as the Jesuit Sant Ignazio church, the ceiling of which I've unsuccessfully tried to depict above (the full eight-megabyte version of that photograph is available here on Wikipedia Commons). The second episode takes a slightly darker path to Spain - hinted at from the beginning - and deeper into Europe, demonstrating the style's broad appeal and regional adaptations.
Baroque! is being broadcast rather irregularly on BBC Four itself, or can be viewed on the BBC iPlayer here. I would strongly recommend a look.