I absolutely adore Line of Duty. I like how everyone in the team of protagonists is not entirely clean, though not estirely bad either.

Of course the prime example and my favorite cop TV show ever is The Shield. You are rooting for the bad guys, though you gradually realize just how bad they are as the series progresses, and eventually you become horrified and want their punishment to finally arrive... but still, every time they evade it you (I) find myself cheering. Horrifying.