All of the characters in this anime basically are the countries in the world during the WWII era represented as people. You'll find that with each character (or country), you'll find a lot of common stereotypes associated with that country (America and England are kind of bitter with each other, America likes burgers and thinks that he's the hero, Italy likes pasta and wine, etc.). Most of the show's humor lies in this kind of stuff.
Based on what I've seen and heard, this show is mostly silly nonsense. It's kind of amusing, but it wasn't as amazing as it's many fans make it out to be. I haven't seen a whole lot of it, so my opinion may be invalid, but based on I've heard, it's more or less the same shenanigans in each episode.
It's also based on a manga of the same name, which is pretty much the same kind of stuff.