Infernal Affairs, which Scorsese's film is a remake of, is The Departed sans emigration to America, taking place in Hong Kong. There are a number of changes, and personally I found the movie to be well worth watching. The villains in this movie are also more well rounded characters than those in The Departed - personally, I found Matt Damon's character, whatever his name is, to be despicable, but his Hong Kong alter ego Ming is different.
If you want the full version of the original story, however, you at least need to watch IA I and II - some of the backstory which is in The Departed only comes up in IA II, which details a full connection between the mob and cop bosses.
I thought The Departed was a great film, but I actually liked the original better. At the same time...I can't be sure, but I'll admit I might not have followed this movie's plot as easily without an understanding of The Departed's slightly more simple, and english, version. So I feel like someone who first watched IA and then watched our version might find the later version better. The similarities made it easier to grasp what goes on in this other version, which moves rather fast in a couple places.
Spoiler
I was actually a tad disappointed that there wasn't a bit more creativity exercised in the plotline of The Departed (apparently itals don't work in spoiler tags btw), which toes pretty close to the line of the original in some cases. For instance, the police chiefs die in the exact same way, down to falling on the car which their informants have just exited.