To get this part out of the way: Team Peeta. From pretty much the moment Katniss first told the bread/dandelion story. ♥ And Team Katniss, just because she's fucking awesome on her own. Gale? Don't love or hate him, but I just don't think he's built to understand/cope with a post-Hunger Games Katniss, who needs the hope and goodness Peeta has embodied from the very beginning.
I loved all three books, taking about 2-3 days to tear through each one. The first one is still my favorite, because it's more tightly paced and plotted than the latter two, which were more meandering. Going to the arena in CF again felt like kind of a rehash, and I felt somewhat cheated in MJ when Collins would brush over multiple huge things like Peeta's rescue or the final downfall of the Capitol with one paragraph of exposition. Collins' writing style is functional, not really hauntingly poetic like, say, Barbara Kingsolver in The Poisonwood Bible - but she tells such a brilliant story that you don't really care.
I like that Collins didn't shy away from the brutality - when you're writing a series focused on a society that sends children to death for sheer entertainment, you can't gloss over the ugliness. Little Rue getting skewered. Cato being gnawed/mauled. Prim and the children in the Capitol square getting blown up. Though this last one completely blindsided me until about three seconds before it happened - I cried here, because of what this would do to Katniss, seeing this happen to Prim after trying so hard to protect her. I did think it was a masterful stroke having the bombing be the work of the rebellion/District 13: forcing us to really question whether the rebellion would be any better than the Capitol, or whether the citizens of Panem are just doomed to repeat history under a new name. Not that there weren't comparisons to the Capitol before that point: the way Katniss is forced to be just as much manipulated, stylized camera fodder for 13 as she was for the Capitol; the way the D13 rebels consider killing an entire mountain full of District 2 civilians just to gain a tactical advantage.
Collins also did well in not shying away from showing such a bitter, prickly heroine. Katniss is no passive, weepy, wallflower. She's a survivor, forceful and flawed, but in a way that I find understandable - when you're living in a world where your government could be watching and waiting to kill you at any moment, where you've lost one parent and the other has failed you, and you're having to step up as sole provider at such a young age? I don't blame Katniss for being so reluctant to let people in. For being so defensive. About the only time I really, really wanted to shake her was when she voted to continue the Hunger Games, but even that I could understand, given that she'd just lost her sister.
Peeta won my heart for his genuine nobility and just all-around goodness; I really am impressed how Collins created such a pure-hearted character without making him cloying or sanctimonious. His absence was definitely keen in the first half of MJ, and while it broke my heart to see him Hijacked, I thought this was another masterful storytelling touch: up to this point, as Katniss has herself observed, he's basically been the one putting all the work into their relationship. She's just been kind of reacting, or not-reacting to his gestures. Now, she's forced to consider what he really means to her; she's the one who has to fight to bring him back.
Characterization is really one of the big things that stands out for me in this series: even people with minimal page time are distinct, compelling personalities. Cinna. Haymitch. Rue. Foxface. Effie and the prep team. Even Buttercup. And so on. It's not hard to see why barely-glimpsed couples like Finnick and Annie spawn nearly as much fanfiction as the series-spanning Katniss and Peeta.
With everything that Katniss goes through, you feel just as utterly drained and broken as she does by the end. But Collins has the decency to end the series with at least a glimmer of hope, with Katniss and Peeta rebuilding their lives in the demolished District 12, even having children.
In short: fantastic series, definitely near the top of my favorites list. I'm crossing my fingers the movies don't suck.