There are quite a few good reasons here.
- Peach Pit art, particularly their clothing design, is fantastic.
- The writing is top-notch. The story's fantasty elements are strongly bolstered by realistic motivations. The story's 'marketing' elements are all actually well-formed symbols and foreshadowing hints. They actually go into this quite a bit when Ikuto and Amu experiment with attempting to use the Humpty Lock and the Dumpty Key together. Ikuto all but tells Amu that she's too immature for him to consider as a sexual partner in the scene.
- The characters are memorable without being two-dimensional. Nadesiko/Nagehiko's motivations, lines, and actions are great. He's not revealed as a transvestite/transsexual until late in the story, rather than early in the story to make him a fanservice/comedy piece.
The characters' budding romance and particularly Amu's budding sexuality make the story hotter than a Nabekov novel. Amu is not a typical moe lolicon piece. She's a much more believable pre-adolescent who's just beginning to grasp her own sexuality. The story STEAMS, and not just with Utau and Ikuto's wincest kisses.