Ooh, that's a challenging one! I have mixed opinions on this show, but I'll do my best to focus on what I liked, and there was a lot of that. (Also, there be spoilers ahead, so read on at your peril!)
Hands down my favourite thing about this series was Bucky's character arc. Watching him deal, day by day, with what he did as the Winter Soldier, is a level of emotional payoff that's rather rare in movies these days, and it was so very well done. The scene where he finally musters up the guts to tell his old friend what really happened to his son was both painful and freeing in the best way.
I also think the writers nailed his...friendship? Partnership of snark? Weird off-kilter Steve's-best-friends-without-Steve dynamic? with Sam. They don't quite fit together right at the start of the series; you can see that they used to be two sides of a triangle and now the third is missing and they don't work the same way anymore, either as individuals or as soldiers on a mission. For Bucky, I think Steve was his compass in the modern day. He's never really had a chance to just live in the world and get used to it now that he's out of the ice, and now he's missing the person who gave him direction and was his anchor to the past. Meanwhile, to Sam, Bucky is probably still a little bit of the dangerous assassin whose arm they had to stick in a massive vise to keep him from killing them when they broke him out of prison in Berlin. That makes for an uneasy dynamic at the start, to say the least, even leaving out the fact that they're both grieving Steve in their own ways. But over the course of the show they start to be friends in their own right, and work together as a better team, and I love that.
Then there's Zemo. I came in expecting him to be the mysterious, icy, Machiavellian revenge-seeker that we saw in Civil War, and then he shocked me by being honest about his own agenda and intentions at just about every turn, and even coming back to the rescue of our heroes when he didn't have to. He's also visibly a man grieving for his country and his family, mostly without the revenge overtones this time. Watching him interact with kids was especially touching. Long story short, I was a lot more sympathetic to him at the end of this show than I was at the beginning, but without condoning any of his actions in Civil War. This is a sympathetic villain done right. (I also have to say, I find it utterly hilarious how he briefly took on the role of the Tony Stark of the team, being the snarky rich one who can always pull a private plane from somewhere when our heroes need to get from point A to point B.)
Finally, there's John Walker, the perfect soldier. He's very deliberately set up as a foil to Steve Rogers, his predecessor, the good man. And we see Erskine's words of warning beautifully played out in his character arc. Steve was never corrupted by the strength offered by the serum -- as multiple characters point out -- because he was once the weak one, the bullied one, the one who knew pain. Steve knows compassion. Walker has only ever known strength, and that is his downfall, even though he's not, initially, a bad man. In fact, he may not ever be a bad man, but he is a strong man who is given more strength, and then has the kind of emotional breakdown that's very, very dangerous when you're that strong. The kind of thing Steve would have instinctively shied away from because he had been on the receiving end of very similar things once, and seen where they ended. Then Walker gets a kind of, maybe redemption at the very end, and I'm very curious as to where his character goes next.
