I sound like a broken record when I say s5, but to me it has it all.
S3 has Faith though, who is an outstanding character study at that point in the show (and a figure of friendly dispute among me and some other BBers as a result). Looking back, it was enjoyable to have such a deep and fleshed out character like Faith to regard, and even more in the rewatch of S3 I have been doing recently. S2 offers a lot in the form of Buffy and Angel/Angelus. S6 has plenty of engaging character studies (to me at least) but everyone finds them distasteful. I can appreciate S6 in regard to this topic.
But S5, oh man...Willow turning to dark magic, Willow and Tara in unison, Anya gets deeper and more interesting, Dawn and her circumstances, Glory (believe it or not, she fascinates me in many ways that I've mentioned in other threads...maybe I'll repeat all of those reasons later), Spike (he's most amusing in S4 but most interesting from the perspective of character study in S5 to me. Early evil Spike is fun and most people who dislike him like that version most, but from the perspective of this question he is not that interesting at that point, he's straightforward and unproblematic...lacks depth of character to me in the early seasons, but he's fun)...S5 is my personal favorite. Maybe not objectively (although it should still rank very high) but I did the most scrutinizing and reflection on characters in that season.
and like Blaze mentioned, the episode Restless is so wonderful for so many intellectual reasons, including this topic. You could frame a television screen looping that episode from beginning to end and back again and hang it on an art museum or proper art gallery wall and I would argue against any pretentious critic that it belongs there. Work Of Art.