@Squeakers: There's plans for a second season. As far as I know, it will be premiered this month. biggrin
I already went through the whole thing twice, and to be honest I didn't found it that confusing. That may be because I've read the first two novels though (you can find them in www.baka-tsuki.net ), and these novels are in chronological (not broadcasted) order.
My favorite? Gets a tie between Kyon, the sarcastic guy who is (un?)lucky enough to be in the very middle of all the weirdness created by Haruhi, and Nagato, the emotionless girl who might as well have actually emotions. whee