This is especially in evidence in "Penric and the Shaman", which is one of those stories when the gods are clearly working hard to bring people together to do what needs to be done, whether they want to or think they can or not. It's also one of those stories where all the characters have good reasons for what they're doing and why they're doing it, which I always appreciate.
I enjoyed "Penric's Mission", too, which had more about their form of sorcery and fewer miracles. I'm kind of annoyed at this one, however because it didn't really resolve at the end. It wasn't a cliffhanger, but it left the characters in an uncertain position with no clear indication of how they'd end up after it.
Still, I have come to adore both Penric and Desdemona. One of the things I really like about the three novellas is that Bujold has let a lot of time pass between each one: Penric is 19 or 20 during the first, then mid-twenties for the second, and about thirty during the third. The reader gets glimpses of what he's been doing between stories, and you can see the way the relationship between Penric and Desdemona has changed and deepened over time, and the way that Penric continues to mature. I'll give the series as a whole an 8.5. Definitely recommend, and I'm looking forward to the fourth one. Bujold's released all three in the last 18 months, so I'm hopeful it won't be a long wait for the next.