So far as the underlying mechanics go, I have two main criticisms. The first is something I mentioned to you while were playing: the fact that pretty much every upgrade in all character classes is some form of stat increase. Along with the thrill of finding rare loot discussed above, a big part of what makes games like Diablo and WoW so satisfyingly addictive is the wide selection of powers available for each class. When you hit level 20 as a Necromancer in Diablo II, you get to summon a fire golem. When you hit level 20 in Borderlands, you get to make one of your guns fire a bit faster. Gee. Awesome.
This leads to my second criticism: most of the skills are just flat out dull. Again, take Lilith as an example: there is so much Gearbox could've done with her Phasewalking ability - teleportation, enemy possession etc. - but as it is, it's just utterly unexciting. And broken too! Let's not forget that.