Captain Hammer is terribly, wonderfully cheesy -and kind of an ass. And Nathan Fillion plays him beautifully, from brushing off a homeless person's touch to deciding to take Penny because Dr. Horrible/Billy wants her. The Captain represents the very worst in superheroes, guys who save the world mostly because it gives them fame and adulation.
And poor Billy is still sympathetic, still lovable, and still in love with his laundry girl. Turning more toward evil. I pretty much think his exchange with Penny works well for both himself and Captain Hammer:
PENNY: Sometimes people are layered like that. There's something totally different underneath than what's on the surface.
BILLY/DR. HORRIBLE: And sometimes there's a third, even deeper level and that one is the same as the top surface one... ...Like with pie.
And then there's Penny herself. I didn't really see the attraction in Act 1. I'm blaming this partially on my being incredibly hetero but also partially because I expect a hell of a lot out of my Whedon women. And Penny really didn't touch much of that, until now. Sweet, self-deprecating, and following her own philosophy -one that competes with both Dr. Horrible's and Captain Hammer's (that is, if Captain Hammer had a philosophy)- Penny comes off much more realized in this episode than the first. And she's fun and funny, and the viewer wants more for her than Captain Hammer; or even, sad as it is to say, Dr. Horrible. But if she's got to end up with one of them, I -at least- am rooting for Dr. Horrible.
And on that note, "Oh goodness, look at my wrist. I gotta go" -watch Act 2 of Dr. Horrible's Sing Along Blog... ...again.