While it's not really fair to compare any of the three series, WandaVision, The Falcon and the Winter Soldier, and Loki to each other (they're all very different), Loki, for me, had the most satisfying season finale of them all... and not just because it's the only series confirmed for a second season. Which is important to mention because it's possible to forgive a few loose ends if you know there's still more to come.
Loki follows the journey of Loki (Tom Hiddleston) as we know him to be at the end of the first Avengers movie, where we saw him escape in Avengers: Endgame. His escape sets off a Nexus event, an anomaly in the timeline, that attracts the attention of the Time Variant Authority (TVA), an organization working outside the main timeline. From there a mystery and a chase ensues.
A lot of Marvel fans are all about the action of superheroes being superheroes, saving the day etc. so this series may have slightly less appeal however, Loki is very much a series of extremely thoughtful conversations between different pairings of characters. While it does have many action sequences, I found myself really looking forward to the next conversation.
In particular, any interaction Loki had with Mobius (Owen Wilson), playing what is essentially a time detective role, and Loki's handler. It works so well because Owen is very much playing the laid back, easy going type character he's known for but, right away, you know he's also smart enough to spar with Loki's quick intelligence and not take any of his BS.
So much character development for both Loki and Mobius is achieved just through their conversations that it's almost a disappointment when we cut away to a new scene.
Tom Hiddleston's performance is truly next level, having to revert back to the arrogant and inflated ego Loki we first met years ago, and then going through an entirely new character arc that sets Loki up once again as one of the greatest anti heroes in the MCU.
The supporting cast is equally as strong with no weak links at all. I'd name drop a few but I'd potentially be giving away minor spoilers.
I have seen some people's enjoyment marred by their expectations of characters not being what they expected based on their comic book counterparts but, at this point, you should be well aware the MCU is inspired by the comics and is not an exact retelling of any comic book series.
Sometimes I feel lucky to have not read most of the comic books Marvel movies and shows are based upon. I get to go into everything with no preconceived expectations of what characters should be like.
I would highly recommend you just let characters in the show be who they are in the show... particularly in a show that is all about different variations of characters (not a spoiler since you learn this almost from the get go in episode one).
If I could cite any disappointment at all (and this is relatively minor) is the time travel element of the show didn't particularly jump around many familiar timelines from actual Earth based history. The trailers felt like more of this was promised than we actually got. It was fine though. The time travel we did get, and the reasons for choosing those locations made plenty of sense. I didn't really miss seeing real world timelines being disrupted.
Overall I really enjoyed the series. I feel watching this will give you a better understanding of what's coming in Marvel movies going forward but I can see it's not necessarily critical either.
That said the entire team that put this together have done some amazing work, with some of the best acting performances you'll see anywhere on a big or small screen. With only six episodes, each less than an hour long, you've got time for this.