King Kong.
Snake Plissken,
Escape From New York.
Vincent and Jules in
Pulp Fiction.
The title character of
Bad Lieutenant.
Nick Naylor,
Thank You For Smoking.
The 3 prior examples are great too.
We wouldn't like them if we met them outside of the story, but getting to know them and what they're about, we end up wanting them to win or be redeemed in some way.