I think what it is, is that Rorschach fits that archetype of the pure justice character that people like the concept of so much. I mean it's the Time to Kill ideal.. we accept that sometimes justice, and the right thing can't be fulfilled with our systems meant providing it and we wish there was an outside way of doing so.. Rorschach is the embodiment of that desire is how I see it.

What intrigues me about Rorschach is how cunningly he's utilized by Moore. To the character, the world is literally black and white (hence his mask). He is unable to stop being a vigilante, because the moral choices faced by a vigilante are simple--victim or perpetrator. In the end, Rorschach dies because he is unable to compromise (to change), to see shades of grey so to speak, and that is Moore telling us that moral and ethical flexibility is REQUIRED in order for the human race to survive.

What makes him great? His relationship to other characters' perspective in the story. He is ultimately defined by these relationships, providing a complex moral view that conflicts with others - which we ourselves may, or may not agree with. In essence, we get to experience a moral dilemma and the conflict of asking "what is the right thing to do" without having to live through it ourselves.

I'm not sure I'd describe Rorschach as complex. In fact, it's his LACK of a complex moral view that gets him killed in the end.