The important thing is to remember when watching is the context of the anime industry. Based upon premise and art alone, you'd categorize it as another, boy meets girl, meets quirky peripheral characters, meets misadventure, meets love show. However, where there might have been another Love Hina clone, we have a much more complex show with complex characters, a male lead with actual personality, a female lead who isn't purely tsundere or moe (These elements exist, but they are downplayed), and an interesting continuity. Keep in mind that this is in a "school setting" show. Not a post-modern-sci-fi-psychological-thriller. Melancholy really broke a lot of stereotypes for the "high school" show. I think that was the purpose of the bizarre pilot episode. It wasn't weird for its own sake, but for emphasizing that this was not just another romance-comedy-harem. For people who knew what to expect, I can see how it might be ridiculous, but at the time of broadcast it might have been appropriate.
Go and watch some harem shows, and you'll realize how awful they are. It'll remind you how different and refreshing watching Haruhi for the first time was. Haruhi rocked my world. I was living in a blissful bubble of "Mahou Sensei Negima", drowning in a sea of "Kanon". I thought it was great. Then Haruhi came along and changed things. My eyes were opened. Yes, the female characters were "moe" and "kawaii", but they also meant something. They weren't just puppy-eyed succubi existing only for their faceless male leads to fawn over. There's fanservice, but it's all tongue in cheek. The male lead is a "normal guy", but he's anything but. He has an astonishing knowledge of psychology, philosophy and pop culture for a high school student. The male lead is actually important for a change.
In addition, the comedy shines when compared to the standard harem fare. It's not all "OMG HE FELL INTO HER BOOBS AND GOT A NOSEBLEED!". Types of humour were played with that had so far been untouched by the romance-comedy genre.
I think hype has ruined things for many. Maybe when you're comparing it to the "deeper" and "darker", shows, it doesn't stack up in terms of plot or drama, but The Melancholy was not supposed to be a "deep" and "dark" show. For a lighthearted show, it does a great job.