I'm not gonna say its particularly good characterization but things like Seras doing some actual investigating as the cop she's nominally supposed to be, the little girl from the latter half, and episodes like the one with the reporter which don't revolve around insane violence are what sold me. Particularly as the manga just gets more and more over the top. Also I feel Seras get developed throughout as the main character, not just the sidekick who gets development late in the manga.
Its not a tremendously good series, but I still think in the old anime they are at least aware of characterization and story while the manga/OVA just laughs maniacally at the idea.
(Mind you I like all three forms well enough)
I think that's a good example particularly with the second season of Spice and Wolf. There are any number of elements introduced in that series that don't have any sort of resolution. Which is a shame.