I typically tend to gravitate towards morally grey or neutral characters with hearts of gold deep down.(see my avatar) Or I also often like evil characters who switch sides.
As much as I prefer heroes/anti-heroes/the general 'good guy' of a story, I find that the villain is usually the one who makes or breaks a story. There's been things I've watched that I've only enjoyed because of the bad guy, or games I've played where my interested plummeted after finally meeting a lackluster antagonist.
I can't remember who said it, but "a hero is only as good as his/her villains"...I mean, I look at Batman and yea, he's cool, but if he didn't have such a good cast of villains to go up against, would people really be that interested in reading about a wealthy man using his money to beat people up?