Wesley- even though he's a character who is mostly there to get made the butt of the joke- does develop in Buffy S3; he gets quite a bit braver between 'Consequences' and Graduation Day', he serves to drive the plot forward at certain points (most of Consequences for example), he's actually quite sympathetic in 'Choices' (a very telling depiction of his character) and he nicely highlights how far Giles has come in those first 3 seasons.
I liked Wesley, I probably wouldn't think much of him if he hadn't gone over to Angel but in the end he's probably my favourite male character so when I look back I see him as interesting even on Buffy. Also he was always funny.
I didn't at first, but after seeing him on Angel, I really appreciate how his character develops (even if always keeping a few core "Wes traits" for better and worse). And I just love Wesley's appearance in Doppelgangland.
He also makes for a good foil for Giles, and an interesting obstacle who doesn't feel just inserted strictly for that purpose. On both shows. He's flawed and well meaning (from start to end despite all the growth), but he's also as harsh on himself as he is others (his own father, though he shows less of this at first, and much more toward the end).