I get to roleplay about once every few years, and then, I have to play whatever game everyone else is playing, so despite my truly immense collection of GURPS books, I've never actually gotten to play a game using the GURPS system.

Nevertheless, I've spent enough time reading the books that I have most of the core rules memorized, and I can tell you that it is one of the more complex roleplaying systems out there. There are a lot of rules for how to do some very complicated things--immediately springing to mind are the highly-technical Vehicle Creation Rules and the Advanced Combat Rules, with rules to govern what part of the body you hit, how much you're weakened by bleeding, and how much the terrain can aid or hinder your attacks--but luckily, those complicated rules are completely optional; if you don't want to mess with them, you can completely ignore them.

And the rules for character generation tend to be pretty complicated, too. Personally, I love 'em that way. It takes some time and math skills to build a character in GURPS, but the time and knowledge required are not extreme. I can put a new character together in less than 30 minutes (though I've had a few years to practice), and my feeble math skills (I was a liberal arts major in college, after all) are not significantly taxed. (You wanna see a complicated system? The character sheets I've seen of Champions characters look like random combinations of numbers and acronyms. I can't make heads or tails of 'em...)

Most importantly, when I'm finished with the character, I know exactly what that character can and cannot do. I know how strong he is, how fast he is, what he's good at, and what he's inept at. And thanks to the rules on mental disadvantages and quirks, I've got a pretty damn good idea how to roleplay him, whether greedy, horny, noble, honest, depressed, angry, confused, frightened, sadistic, obsessive, you name it. White Wolf's overpraised Storyteller system tells you a Brujah vampire is angry and rebellious and usually expects that to be enough; GURPS suggests a few disadvantages to use, like Bloodlust, Bully, Fanaticism, Stubbornness, and Weak Will: Self-Control.

In fact, a GURPS character tends to be so complete and detailed that when I write fiction, I keep a couple of GURPS books on my reference shelf for inspiration ("Oooh, wouldn't it be neat if my protagonist was a lecherous solipsist with Tourette's Syndrome and a fondness for yellow baseball caps?"), and after writing out my main characters' descriptions and histories, I usually convert them into GURPS stats so I'll have access to an easy-to-understand character reference I can consult when I need to.

UPDATE: All of the previous was for GURPS Third Edition. The Fourth Edition of GURPS, however, is a disaster. The rules have been made a great deal more complicated, apparently because the company wants to appeal to gearheads, wargamers, and theoretical math majors. I've picked up three of the new GURPS books, expecting to be able to jump right in with the new system -- and damn if I can't make hide nor hair of what's going on in these books anymore. And if I can't understand the new system, with a heavy background in GURPSisms, what chance does a neophyte gamer have?

I'm still using the Third Edition rules. They ain't perfect, but at least they make sense.