Each season of slayers seems to build more on the storyline (ignoring Revolution and Evolution-R), and Try does a great job of that. It focuses on a lot of different perspectives, and the question of how to define the good guys vs. the bad guys.
The series explores the relationships between Mazoku, gods, those that are neither, and those that are both. Xellos shows his dark side, which makes me love him that much more. And the relationship between Xellos and Filia is hilarious.
The comedy in Try is different that the previous two seasons. There are fewer filler episodes, a lot of suspense, and a lot of action. There are 6 episodes in the season that I found sort of weak (15-20), but the other 20 episodes are by far the best in the series. The series brings out a lot of emotion, and is in my opinion the best of them all.
