One of the things about Azula that I love the most is her sheer, utter, nerve. As far as guts and boldness go, she surpasses almost everyone else in the series. The way she entered Ba Sing Se is a perfect example of this. Azula was willing to walk right into a city that she had just attempted to capture, trusting that some face paint and a fancy costume would conceal her identity, and demand to see the earth King. Pretty much everything she did while in Ba Sing Se demonstrates what sheer, utter, guts she has. During the Day of Black Sun, Azula was willing to expose herself, without bending, to the Avatar and two of his friends - with nothing but her own non-bending abilities and 2 Dai Lee agents to prtect her. Later in that episode she calmly sits there and smiles as an enraged Sokka waves a sword in her face.
Compared to the naturally cautious Katara, the demure Suki, and the flighty Ty Lee, I view this as a definite plus in Azula's character. Anyone agree with me?