I think part of the appeal of Rorschach is that he's so different - fandom seems to love sociopaths (see: Hannibal Lecter, Seishirou Sakurazuka, Itachi, Light Yagami). And I think a key distinction needs to be made between finding characters like this fascinating, and rooting for them/identifying with them (augh I want to strangle all the Light fangirls in the world). The Comedian, on the other hand, is a very human brand of fucked up - I'm not sure I could ever truly like him (I have friends who have been sexually assaulted, so that's kind of a RUTH SMAAAASH thing for me), but I do think he presents an interesting contrast to Rorschach in the sense of 'who's the 'better' person here?' - I know a lot of people will say Rorschach, and I admire his conviction if not his methods; but on the other hand you have the Comedian, who, at the end of his life, has basically realized 'I'm what's wrong with the world', and that's very powerful, particularly as it's something none of the other characters really get.