Shadow - I think it speaks to a darker side a lot of people have. I see them a bit as rollercoasters - these shows allow us to kind of live out dangerous things without actually having to do it. Also many of these shows do wind up having a moral centre somewhere, even if it isn't the main character. I love Breaking Bad and I love Walter White as a character and Cranston is AMAZING, but I really want him to get his comeuppance. It's the character of Jesse I feel for, and Walt Jr.
But I know how you feel. I hope the pendulum swings back again and we get some real heroes (not anti-heroes - which I enjoy but I am getting tired of), people who choose to do the right thing not because their parents were murdered but because they have the ability to make a difference in the world and want to do it (Batman vs Superman in other words - a highly unpopular view though, most people think Superman doesn't really have a place in our brave new world).