The one thing I didn't like was how short the series was and how most of the episodes were of how Brandon became Gungrave. Not that I'm complaining but, that combined with the shortness of the series gave the whole thing a feeling of being rushed. The series could have easily made it past thirty episodes with just a bit of effort.
The characters were somewhat original and not cookie-cut like so many other animes. They were more emotional than others without going overboard and left you guessing at some of their motives until the very end.
The sound was one of the things I didn't like at all. The action sounds were very loud but the conversations had to be turned up in order to hear them well at all (leaving you to jump when the guns started firing). While I understand that gunshots are significantly louder than speech, this is an anime and I'm sure the viewers don't want to wet themselves every time the guns started firing unexpectedly.
*MAJOR SPOILER ALERT* The one thing I really didn't was the ending. I'm not sure if it's because the Japanese prefer a different kind of ending to people in the Western Hemisphere or if it's just me but, so-so endings just don't cut it for me. Brandon in the end chose his friend over Millenion and was more than likely turned to dust. What also didn't make much sense was him saying he'd be Mika's guardian and then keeling over like he did. While Mika was obviously going to be taken care of physically, she had lost everyone that was important her. Had at least Brandon survived, she would have had someone. *MAJOR SPOILER ALERT*
When creating an anime, it's important to get the ending just right, the best way to go is of course with a happy ending (sad endings can work as well when done properly); the bad guy is dead or in jail for the rest of his life and the hero gets to ride off into the sunset and live happily ever after. So-so endings are incredibly difficult to pull off and it's obvious that Gungrave failed it's attempt at a melancholy ending.
