Coming up with this list, it's interesting how not only the characters, but the actors that play them become fan favorites. They're always fun to root for and hope they do the right thing. Disappointing when they don't choose right, but it's always interesting no matter what.
SAMCRO. (Sons of Anarchy)Very protective of their town, but they are definitely criminals. Just too stupid to see that they invite all the trouble and are the root of it.
Kublai Khan, on Marco Polo.He's motivated by being progressive, fulfilling his grandfather's vision and wanting to unify Asia for peace and "freedom", but to him the end justifies any means.
He'll kill off a village but take in a child survivor and raise him with love as one of his own, not understanding why it ends in betrayal. BRILLIANTLY portrayed on the show by Benedict Wong. Check out his IMDB page, he's been right in front of us, a relatively unrecognized talent for a while now.
http://www.imdb.com/name/nm0938950/?ref_=tt_cl_t2
Jayne, Firefly. You could argue Mal too, but he's less ambiguous.
On one hand, he'll (Jayne) turn on a crew member out of habit for profit, but ultimately he does care and is fairly protective. (Ariel episode)
Spike, Buffy and Angel. He had an interesting development arc on the shows. Gotta like James Marsters.
Methos, Highlander.Fan favorite character for this very reason. Started out one of the Four Horsemen, the worst of the worst and the oldest immortal. Over time he changed to a pacifist. He develops during the time of the show, but is a reluctant to be a hero or to even help oftentimes since he feels guilty or that he'd return to his old ways.
The Punisher, Frank Castle on Daredevil.He isn't so much a hero since he's motivated out of revenge and specifically targets organized crime rather than any criminal. Usually. In the end his hearts in the right place, but as with most, the end justifies the means. Usually with a lot of collateral damage.