Tips for watching Madoka Magica
1. Be sure to make it past the first 2 episodes. Actually, the first 3. This seems like alot for a series that's only 12 episodes long, but it IS worth it.
2. Watch it in Japanese with subtitles, the English voice actors are TERRIBLE and don't convey nearly the same level of emotion. Yes, its sad that the actors speaking a DIFFERENT LANGUAGE convey the message better, but they DO.
3. Do NOT watch the movie versions until you've seen the originals. They cut out alot of small details that really have an impact later on for the sake of cramming the whole thing into movie run-times. (IMO, the music in the original is alot better too.)
4. Go in as blind as possible. The plot loses alot of impact if you see the twists coming. (The art styles are still amazing and worth watching it for though, even if you have had the plot spoiled)
5. Do not go into this expecting standard "fight anime" rules. While there are some fights, the fights aren't the point of the show at all, and things like "balancing" all the powers of explaining them in technical terms like Naruto does just don't happen.
6. Do not go into this anime expecting something happy and cheerful, despite the cover art, first 2 episodes, and super happy opening theme. Narratively, this is a TRADGEDY in the Shakespearean sense. That doesn't necessarily mean it's trying to be as grimdark as Death Note, or even that ending is gonna be Bioshock depressing... but it does mean the show has themes of reality conquering ideals, cause and effect without fairness, characters being destroyed by their own flaws, and basically the entire series is a deconstruction that takes it's premise and goes "OK, what if we followed all these ideas out to their logical conclusions?" rather than being a DRAMA in which the hero overcoming all these things. Circumstance and context is honestly a bigger antagonist in this series than the actual antagonist "actors".
7. Watch 11 and 12 together. (Also recommend 9 and 10 together)
8. The next-episode previews are useless. If you really want spoilers, pay attention to the episode titles. Each title ends up being something somebody says over the course of that episode.
9. If you end up hating Homura and thinking she's a generic "quiet type" Mary Sue, don't worry, I felt the same way until towards the end, it's totally worth it.
10. The important cast of this show the consists 99.9% of female characters, so don't go into this expecting shonen heroes. That being said, this anime still has some of the best female characters I've seen since Avatar the Last Airbender.
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A mostly spoiler-free review if you want to know more, but I'd recommend listening to just the audio, as the visuals are pretty betraying: http://thatguywiththeglasses.com/videolinks/ir/jo/jar/36398-madoka-magica (Just try not to cringe too much at the horrible english dialogue/voice actors. It's honestly MUCH better with subtitles)
If you live in the United States, the anime is hosted legally and free on Youtube, crunchyroll, and even a few Xbox Live streaming services.