What most drew me to it was the subject matter. The lyrics draw their influence from pulp fiction, dark fantasy and horror, and particularly the works of Robert E. Howard and H.P. Lovecraft. While they don't exactly form a continuing narrative like Rhapsody's albums, the stories are set in a shared universe, with many recurring characters and concepts. So carefully reading through the printed lyrics (which often contain much more material than is actually sung on the tracks) is really a must when getting to know the band.
Musically Bal-Sagoth is... unique, and hard to describe, really. It's often classed as (symphonic) black metal, probably mostly due to the vocal style, but I don't think that's really an accurate description (although I can't pretend to be very familiar with the black metal field in general). Epic, symphonic, and surprisingly atmospheric, I think, even with its many aggressive elements.
Although with my taste for fantasy and horror listening to this kind of music is perfectly logical, I could hardly have imagined myself listening to anything described (by some) as 'black metal' not that long ago. But horizons are there to be broadened, right?