I'm partway through Season 4 now -- I just started watching last weekend and am obsessed with finishing this, it's like popping candy and/or shooting heroin!
I think the show just seems pretty "real" in terms of the characters and interactions, and it's just good drama -- but at the same time, it's kind of depressing to watch the characters become more and more corrupt in order to survive in the situation they have placed themselves in.
I think the Walt and Jesse relationship is pretty fascinating, as they are very different... seems to be SFP vs ITJ mentality here. Walt is very devoted to his family and doing what he does to provide for them after he's gone (although now he's also kind of 'trapped' -- he can't walk away without risking his own life and his family's life), yet he's also very prideful, he's a compulsive liar (even late in the series!), holds resentment towards those who have belittled/opposed him, can be vindictive and simply mean, is very much a perfection and totally obsessive, and he's also got that detached ruthlessness... he'll do what logically makes sense to achieve his goals, despite the emotional and moral consequences.
Jesse meanwhile is very driven by his emotions and values, is much more flexible, looks for approval, can be obstinate if he just doesn't want to do something. But more interestingly, he has shown some behavior I recognize in my SFP kid -- when he feels bad about himself, he becomes self-destructive, angry, and out of control. he can get into the grip of negative emoting and punishing behaviors, and the only way to get him to stop is to somehow get him to view himself more positively; basically he lives up or down to his view of himself and other people's expectations for him.
I have been a big fan of Gilligan since his X-Files days, and what I love about him is the way he can insert quirky humor into a dramatically intense/serious situation without losing either aspect. BB is one of the most dark (psychologically), dramatically intense, yet absurdly funny shows I think I've ever seen.
Gus scares the shit out of me, even as underplayed as he is. The opener to Season #4 where he barely says anything but just does something in front of the other characters is terrifying, and I've read that the actor who plays him actually had a lot of trouble with that episode, it was difficult for him.
Mike is one of my favorite characters. he's utterly pragmatic and rarely shows himself to be fazed by anything, and he's very competent despite his age. Just very much the realist.
it's also interesting to see Skylar's responses to things, considering where she starts in the series and how she falls more and more into collusion with Walt. her journey seems pretty believable to me, although along an ESJ route. Despite the fact that the world is not as morally ambiguous to her as it is to Walt, she eventually becomes changed by events as well.
If you post, don't mention any spoilers in seasons 4 or 5, I don't want the last 1.5 seasons ruined for me. I'm expecting the send of Season 4 to be crazy, honestly.