I like really deeply written stories. I like stories where you suddenly realized something seemingly insignificant that happened earlier was relevant to the plot and it makes you go back and look at the story carefully. To keep going back to earlier points, for me is a sign of masterful story planning.
I also really like it when stories reference literature or philosophy - of course, so long as it has a good connection to the story and isn't just sprinkled on for the sake of snob appeal. I like it because then I become interested in those works and I want to read them too.
Finally, I'm a fan of ensemble casts since a lot of my favorite shows these days work that way. It's great when you feel emotionally invested in several characters because then there's never a dull moment. This works especially if the plot is character driven.