You will grow to root for Klaus and Lavie which really keep the story moving forward. The story, the world and the characters will keep most anime lovers engaged.
The biggest drawback of the series is "The Mystery". It is not until the final episode that we learn what the true purpose of Exile and the Grand Stream are and how the two countries of Dissith and Anatoray relate to each other. It's not particularly satisfying and the fact that you must wait 26 episodes means that for 97% of the show you are left in the dark. If you have to wait that long, the payoff should really be amazing and it really wasn't. Also, the fact that you are confused for 25/26 episodes means that this feeling pervades the overall enjoyment of the entire series.
This is why you may read reviews saying that they found Last Exile confusing or difficult to follow. It's not hard to understand. It's just that they hid the reveal so far into the series. This is why the reviews are positive overall, but few people will say Last Exile is a classic.
MILD VAGUE SPOILER AHEAD: It turns out that the shape of the planet they are on plays a large roll in the mystery which seems so needlessly random and confusing that the 26 episode build-up ends up being a let down. If you envision the identical story between two neighboring continents on a normal, spherical world - divided by an uncrossable barrier (a sea or wind current), you would end up with the same outcome. However, I must admit that the ultimate mystery is what kept me going - so without that I may have gradually lost interest.
