Besides the how-deep-does-this-rabbit-hole-go aspect of the stories where the main problem always grows from something small, there are two major aspects of the set of books that I find really enjoyable. First, Burst makes no claims that he wrote the books in order, in fact in interviews he has suggested reading them in a very different order than he wrote them (and that suggested order has changed over the 20 years he has been writing these short-ish books: 12 so far) so often I end up reading a story that I know how things start in books after this story so the final state is mostly known and the story is a question of how is Brust going to get there and fills in the back story for books you have already read or you read a story that is intended to be completely independent but still drops new characters in on you that everyone seems to know and be friends with and you have you figure out what is going on, because Brust knew he would later add that character in to a book taking place before the current one. These non-linear dynamics seem frustrating, and are hard to describe, but end up being a bit of a puzzle that is above the story and fun to work out (and is making me seriously think about re-reading the first couple of books in the series when I finish).
Secondly, after the series became popular, Brust clearly started using each book to play around with different styles of telling a story, which is particularly interesting to see the same characters described differently based on the narrators viewpoint for that book. I think he does a reasonably good job of making the feel of the books different by shading the descriptions of a story through the lens of a character that had not previously been a central focus of previous books. Overall, I have really been enjoying this series.