I loved Horo. A character like her I have never quite seen before. It was her who compelled me to watch the next episode more than anything else, not to say that everything else was bad though.
You've all said most of the reasons why she is love. So elegant, so complex, strong but still (ironically) human.
She struck me more as a wolf than a fox, probably because most Japanese fox girls have yellow fur, black-tipped ears, and occasionally slim eyes. There are too many fox girls anyway.
I don't entirely see where the tsundere label for Horo came from. I admit I'm a little intolerant as to what defines a tsundere because of how carelessly the label seems to be passed out lately. She seems too level-headed and a little too confident with (most of) her own feelings to be what I consider a tsundere. I also didn't find her very moe...she actually seemed more like an original character first, and an archetype second. Totally nothing wrong with that.