The parts listed in the README as "Needs support" have connector pins attached to them so w/out support you'll run into problems. The rest of the parts should be fine to print support free. The items that have [has support blocker] have a little chunk of geometry to block any support from getting up inside of a connection port that's facing the build plate. Val's head doesn't have a support blocker, but it has a port facing down, so if it's included w/ stuff that has supports you may end up having to remove support material from the port.
These parts were designed with ABS in mind. You can try it in other materials but I don't make any promises that it will work. I test printed all parts on a Lulzbot Mini with the following settings:
Material: ABS 2.85mm (Gizmodorks)
Layer Height: 0.18mm
Hot End: 250
Support: Touching Build Plate
45 deg overhangs
Given the fickle nature of 3D printing what worked for me may not work for you, so use the settings that work best for your setup. The fist and shoulder files are really the only ones that need any supports, the rest should be okay to print without. The torso includes a "support blocker" in the port that's on the build plate that you may need to punch out. That's just to keep support material from getting up in the port and having that much more to try and remove.