Nancy Botwin is the perfect character, you love her, but sometimes want to slap her. Parker is an amazing actress and makes this show work from beginning to end. I also love her youngest Shane, he's excellent this season and glad to see him getting more and more airtime. This show is both funny and heartbreaking and blows most shows on TV right now out of the water.
Celia is an especially amazing character, because she can be extremely mean and shallow (and sometimes even cruel) but still maintains a strange lovability that makes it easy to sympathize for her.