Massively underrated. I think this show suffered from people's expectations of it. Ep.1 makes it look like a thrilling World War Two adventure of a European princess and a witch fighting Nazis. Izetta can fly on anti-tank guns and throw cars at you. Girl power, right? Well, no, because the show's focus is never squarely on Fiine and Izetta. Ep.6 is the most extreme example of this, with spies and spymasters shooting each other and trying to destroy a country while the girls go shopping and eat pie. There's a war going on and our heroines are only one cog in a bloodstained wheel of them.
Choices are made that are slightly unsettling. I was subtly on edge for most of this show's run, with the soldiers, generals and spies around Fiine and Izetta steering them in directions that were perfectly logical but still didn't look likely to turn out well. It's not clear that there was something else they should have been doing instead, mind you. They probably took the right decisions under the circumstances. You don't always have good choices during war. You're never shouting "what an idiot", although Fiine's occasionally pushing it with her martyr complex.
Eventually it becomes clear that it's a show about betrayal, lies and the bad things a ruler might have to do. We're not meant to be feeling comfortable. This isn't a funky magical girl warrior show, or even an exciting war drama. Zofii is a monster, but her backstory is the show's themes condensed into utter horror. She's already paid in blood for the right to do... well, anything she likes. That's what she says and I couldn't disagree. Similarly, your comrade might be a spy. People get sent on missions to get killed. Shooting someone in the head is a terribly easy thing to do, even when they're your subordinate who merely overheard the wrong thing. (That's true of both goodies and baddies, incidentally.) Trust is a slippery thing that might get you killed, but equally might get pulled out from underneath you by superiors or allies who've decided that they might be slightly safer if you weren't around. We see a lot of problems with trust in this show, whether it's expressed in villainous, self-damaging ways or perhaps (if you choose to read it that way) through Fiine's frustrating attempts to shoulder everything and spare Izetta.
The show isn't a cynical pit of blackness, mind you. It's basically a world of good people. However it does have those undercurrents, bubbling ever-closer to the surface, which is what makes the love of Fiine and Izetta all the more powerful.
Oh, and there's also the lesbianism. A lot of fans had problems with this show, but you'll also see it on a lot of "best of the year" lists, especially from yuri fans. The Fiine-Izetta relationship is what gives the show its power, I think, since it's also challenging the dark side of the story's themes. (That's true even when Fiine is being forced to do what she must as the princess of Eylstadt.)
It's going to end tragically. That becomes ever more clear. The only question is how inspiring this tragedy will be and how much the survivors will have achieved in the face of their loss. Personally I thought the show ended well and powerfully.
It's set in an alt-universe World War Two, not the real one. Germania has invaded Livonia (Poland) and Thermidor (France), while Brittania is still fighting and Atlanta hasn't yet entered the war. (Eylstadt is really Lichtenstein.) Germanian isn't led by Nazis, but are instead it's more reminiscent of their high command in WW1. (They're ruled by an emperor, for a start.) They say "Sieg Reich!" This seems appropriate for an anime about flying witches, although at the same time the show's also been meticulously researched and is rich in both historical and geographical detail.
I admire this show. It deserves closer attention. I think most of the complaints I've seen are either category errors or just plain not seeing what's there. Its main crime, I think, was to make people think it was going to be something it wasn't, thus leading a significant slice of its audience to misunderstand it. It's not without slice-of-life elements and fanservice (e.g. sexy opening credits), but I completely understand why its fans fell in love with it. It's not always fun. Occasionally it's perhaps a bit boring, when we're stuck watching humourless men set up plans that will pay off in four episodes' time. It's a little bit spiky, then it's spikier, then eventually it's flat-out tragic (but in an inspiring way). The ending got to me.