4. A World Just As OTT As The Hero
You may have expected the show to be rather small-scale due to a non-super main character, but the show subverts expectations once again with its use of DC characters across the mythos. Whether it's a villain fighting Wonder Woman in the heart of a city or Superman having some banter with Lois Lane amidst a hostage negotiation, there's a wealth of opportunities available for the writers to have their fair share of irreverent fun.
Often times shows like this pigeon-hole themselves into only including characters directly related to the titular protagonist because they likely don't want to overcomplicate the 'world' of the show. Nothing wrong with that mentality, but Harley Quinn foregoes that typical structure and is all the better for it. You never know which character will end up in the show's crosshairs, lending it an always-present sense of unpredictability.
And everyone in the show is such an over-the-top, near-parody of the characters you know that it's such a delight to see what direction they go with each one of them. This is NOT a world you'd ever want to be in, but it's a blast watching it unfold further every episode.