I love moral ambiguity in characters... I love watching them struggle with choices they've made, wonder if they've gone too far, question whether they're good, deep down... I love flawed protagonists, especially when their flaws get them in trouble. Also fascinating: stories that deal with conflicting systems of ethics, where one might not easily emerge as obviously "superior." And fantasy/sci-fi stories with alien/otherworldly protagonists who adhere to a moral code that's different from what we think of as human morality (in itself, rather variable from culture to culture and across the span of history).
I'm currently writing a fantasy story wherein the majority of my main characters are vampires; I don't think they're "evil" and haven't written them as such, but they do kill humans to survive (they have to, and in my story, vamps can be born that way, so it's not like most of my characters ever chose this life to begin with). Hopefully, readers will care for these characters and empathize with them, even as they straddle that wavering line between good and evil.