The cost of the bands is ridiculous...some are more than the watch itself. Bring on the 3rd party bands!
I agree with the OP on the Milanese band, wish it was a looser weave. I only wore it for a minute in the store but can already tell it's going to rip all of the hair off that area of my arm.
Apples bands are a bargain compared to the watch bands from many traditional manufacturers. Price a Panerai leather band. Or try to buy a link band from Hublot. Tag-Heuer Link bracelets will set you back well over a grand. A Breitling 7-link bracelet is in the range of $1300 (a personal favorite)
I've been a "watch guy" forever. I own about 2 dozen different brands. I think Apple did a splendid job with their selections. The rubber bands are among the best I've seen (for comparison, just check out the IWC rubber straps, or the Hubulot Big Bang; Apple did a fine job there. The Milanese loop is wonderfully woven. Without the tight and small weave, the band would not loop around readily, and would have an unsightly "bulge". There's some basic engineering reasons the weave is so small and tight.
The classic leather is one of my 2 favorites. Just the right thickness, and the correct suppleness (not to soft; not to stiff). My one complaint is the "modern" buckles are finicky. Hard to align and snap together with one hand.
Finally, the link bracelets. This is bread-and-butter modern watch design. I think Apple's effort is mostly a success. The butterfly clasp looks good, and is well designed. I was able to get it on and off with one hand easily. My one concern is the links themselves have pretty thing edges. They overlap, to give a continuous visual look, but those thin edges will be prone to knicks and bending. Apple's price for the link bracelet is actually pretty good; other high-end link bracelets can cost 2x to 5x more than what Apple is charging.
I've owned PVD coated SS before (black), and it's fairly durable. As I've worn good watches for a long time, I'm pretty good at keeping them looking nice and not banging them around. It remains to be seen if Apple's coated SS will remain durable, this is hard to judge on visual inspection alone. As Apple clearly did their homework on these bands, I suspect this is also an area that was carefully designed as well, but we'll see.
All that said, my wife and I ordered 2: 38mm SS w/classic leather buckle, and 42mm Space Black Link SS