The best part about BorN is that it breaks away from the "boring harem" realm. Creators have made the story really intense and dramatic in this season. I started watching the anime considering it was a light-hearted ecchi. But this season completely changes things.
Highschool DxD BorN is a great anime, truly. It's too emotional on too many levels. Issei has grown a lot more powerful. By the end of the anime, and it's completely a personal opinion, Rias becomes far more lovable than she ever was.
BorN has really great character relationships. The battle scenes are interesting. Quite indirectly, a lot of other species are shown involved in this whole drama.
BorN is the third season and it's more than just a continuation of the first two seasons. BorN is a complete anime altogether but you'll need to watch the first two to get a grip of things.
Some heart-wrenching things happen in the concluding episodes related to Rias and that makes the entire experience of watching this anime series worthwhile. It's a payback season. I won't spoil it for you, you have to experience it yourself. It was so powerful that I couldn't stop listening to the soundtrack, watching the last episode again and again, and waiting for the fourth season after finishing it.
And oh! Don't resist crying!