I thought Black Widow changed as well. When it starts out, she's up to her usual tricks. When she's on the run with CA, I think that his virtuousness rubs off on her. In the end, she realizes she is going to have to face up to her past and accept the consequences. I think she also develops a little affection for him as well.
Your right that Nick Fury didn't really change. He's basically the same from beginning to end. His mistrust might be notched up a bit now.
Its not night and day difference, but I think its definitely there and its more than alot of movies show. A few lines of dialogue usually qualifies as development nowdays, but they took the time, specifically with the scenes with CA and BW, to make the dialogue more meaningful.
I liked how they kept TWS very mysterious at first. But I wish we wouldve gotten a little more info in the end. They're saving it for CA3. Correct me if I'm wrong, but in the comics, TWS becomes CA after the original CA is killed. If they go that route for CA3, I'd guess we'll get alot of the info then.