Many people watch this show for the fight scenes. And while it has some of the coolest and best animated fights ever, I cant help but feel these guys are really missing out. The main theme in Fate/stay night is "conquering oneself". There are three alternate versions of fate stay night. The first one Fate, is the "oneself as an ideal". The second one Unlimited Blade Works, is "struggling with oneself as an ideal". The third one Heaven's Feel, is "the friction with real and ideal".
Kinoko Nasu (the writer of fate/stay Night) is SO GOOD at interpreting human experience in a story. Sometimes to the point that it gets difficult to keep track of everything. Cough*Garden Of Sinners*Cough.
Anyway my point is the characters (expecaily their morals and motivations) are the best part of anything Kinoko Nasu makes. There is anyways much more depth in the characters than you probably realize.
If you like this show then watch Fate/Zero right away. Kiritsugu Emiya is by far my favorite character from anything. Just watch it.