1. The characters - I love practically all of the characters. There's a mixture of personality types, from Peter's dreaminess to Claire's frustration at being a freak, to Niki's far of herself, to Hiro's wonder and determination to be a hero. They are a mix of age, character type, nationality and color, and each one comes across as a very real person. Even the guest stars and bit parts are interesting.
2. The plots - The show is very tightly plotted. Things that are hinted at early on become critical later. All of the pieces are put into place and finally brought together. Like Lost, they have plenty of mysteries, but unlike Lost they don't drag them out too long - you get answers, although it can be painful waiting for them. There are lots of cliffhangers, which will not be a big deal when watching on DVD. But in some cases, imagine what it's like to wait a week for the next episode, or endure an eight week hiatus before finding out what happens next.
3. The cast - the cast is really good. They all seem to find their groove easily, and they do a great job of bringing the characters to life. Some characters, like Bennet and Sylar, were supposed to be guest stars with small parts, but the actors were so tremendous that they ended up being regulars. They also have guest stars like Malcolm McDowell, Clea DuVall, Nichelle Nichols, George Takei, Christopher Eccleston, Richard Roundtree, Eric Roberts and more. It's more like watching a movie than a TV show in terms of the look and feel of the cast.
4. In addition to all of the above, the series is visually beautiful (especially in HD). The cinematography is really well done, almost like watching a movie. The musical score is unique as well.
Season one was really great. I highly recommend it, and am actually giving it to several people for Christmas this year.