That's the thing about season one. We learn more about the characters in seasons two and following. In season one, the characters aren't entirely "steady".
Later however, there are periodically some sort of "personal episodes" that deal with one of the particular characters (so you come to know the characters better, ^you understand their motives). In my opinion, the TV show has the perfect balance: you don't just have villains, sometimes you really feel for the "bad guy" (while some sickos just make you want to throw something against the flatscreen and some make you want to hide somewhere), you don't always deal with "personal cases". On the other hand, you keep learning about the characters. However, there is little drama in between characters, just enough to keep it interesing. The interaction within the group is really nice: funny, serious, cute... I like their chemistry.
As far as character development goes, I think there is. Not every character with the same intensity, but there is.
I bought seasons one and two on DVD (there was a discount on them).
Very recomendable episodes:
1x06
1x07
1x09
1x12
1x14 (deep episode, just saw it a few days ago - not a classical episode)
1x16
Season 1 finale and 2x01 (two part episode; I'm glad that I didn't have to wait here...)
2x03
2x06
2x09 (two serial killers... all I'm saying)
2x10 (very deep episode; I just sat and watched - deals with terrorism)
2x12 (one of the most personal episodes ever made and a favorite of mine)
2x13 (disturbing...)
2x14/2x15 (again, it gets personal; great episodes)
2x16 (rassism is a topic here)
2x17 (tragic)
Okay, I stop... You see, season two is very recomendable
... or psychopath 
.
