You know my favorite characters? Villians!
More specifically, antagonists. Antagonists drive the story forward, pushing the protagonist toward his/her goal, effectively shaping the protagonist along the way. To be a hero requires villians, and to create a decent protagonist requires an equal antagonist, and I love that dynamic.
I always wondered why villians like Magneto (X-Men), or Darth Vader (Star Wars prequel trilogy) or even Lex Luthor (the Smallville version) appealed to me more than the cookie-cutter 'take over the Earth' types.
I have the most fun reading about antagonists that aren't evil or bad in and of themselves, but that gradually grow to do bad things because they think it's right. I think in today's world, that's the more believable type.
That gradual fall from grace is fun to write. Because we can relate, because we can sympathize. And it makes that moment when the hero and the villian clash that much more poignant.