I found myself comparing it to Generation Kill; ultimately if I had to recommend one versus the other, I'd probably go with Generation Kill but it's a close call. Because GK is so much longer, it had more time to develop the characters (and more characters to introduce).
Both movies, though, excel at confronting you with what's happening in Iraq and making you consider the infinite ways it's affecting people's lives (if they survive it).
The Hurt Locker follows three soldiers, each with a unique personality.
Jeremy Renner is the lead as William James - a great protagonist because his motives never become clear -- a deathwish? an insatiable need for an adrenalin rush? bravery/heroism masked in uber-masculinity? It's really hard to get a hold on what's driving him (as, for instance, when he befriends "Beckham," a young Iraqi boy) but in that sense he seems like a complete person.
I like it when actors/directors/screenwriters are able to create characters like this -- full, complete characters (Brad Colbert in GK was similar this way).
Owen Eldridge (played by Brian Geraghty) was also a complex, hard-to-pin character -- at times deathly scared of war but in other scenes grimly (fatalistically?) doing his job.
Given the movie's really thought-provoking examination of manhood/aggression/relationships between men, I think it's absolutely amazing that the director is a woman (her name is Kathryn Bigelow) - I definitely want to see more of her stuff.
One critique: The appearance of Ralph Fiennes in the middle of the movie was a bit disconcerting -- especially as he was introduced by the dramatic unwrapping of his turban. I don't think I like the seemingly frequent use of star cameos in war movies -- it detracts from the story by inserting the Hollywood element.