I actually had SR variations of Azula, Ty Lee, Zuko and Mai (all Shaanxi nobles and physads (Mai, Ty Lee) and elementalists (Zuko, Azula)) pop up in a random visit to Dante's the other day. Fun. Especially Azula, but I'm fond of that character anyway.
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I think one of the things that really hooked me about the show is that, even though it was written with a younger audience in mind, it wasn't dumbed down. It didn't go for the easy answer to the tough questions (killing, love, etc.). There were some morals to the stories, but at the same time, they didn't beat you over the head with them unless it was critical to the character.
Oh yeah. They also have some very nice popcltural quotes (especially in that desert episode in s2, the desert outpost with an ice source, the tusken-ish sand benders, and the one time a katana shows up in the show (to cut ice. Priceless. That's a nicely subverted trope if there ever was one, considering how the show only uses chinese weapons otherwise. Take that, anime!
Favourite characters would be Azula, Mai (Maiko, fer sure, Zutarans are gtonna go to hell!), Iroh, and Toph, in that order. Not that there's really any character I dislike, though. They all have great moments, even relatively minor ones like Jet, Smellerbee and Li/Lo.
Another really great thing is the greyness of the show. There is no 'pure' character (not even maternal and large-eyed Katara, whose dark side really had a prominent feature in The Southern Raiders), and neither is there a good or evil nation - there're noble Fire Nation people, as much as the Earth Kingdom is so full of crooks, it makes Chiang Kai Chek's China look modest. Also, the Dai Li really are the creepiest organisation in the Avatar world.
Me, I damned hope they do at least two feature movies, one about Iroh and whatever happened to Lu Ten (my personal pet theory is that Koh stole his face and he committed suicide), and one about Zuko and finding Ursa.
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And, oh yeah, the episodes are packed full of story. And its story that you can actually follow without first reading a manga to fill in all the missing pieces.
Yes. And foreshadowings and well laid hints and basis' for things to come. Especially The Beach is great in that respect (very nicely hidden foreshadowing in the end, the panel where the four of them stand before the burning house ...). That an Tales of Ba Sing Se are the best episodes ever, counting the (great) finale.