I watched most of SEX AND THE CITY, and I marveled how those girls screwed up one relationship after another, some of them with pretty decent men. (Aidan, for example.) I asked Lisa about it, and she said that, for a woman, part of the fantasy is that, if you had Aidan, you wouldn't push him away.
So I'm watching Season One of GAME OF THRONES, finally. The first time through I couldn't bear watching it because it was too obvious from episode 1 or 2 that poor Ned was an idiot who was going to pay the price for being honorable in the wrong situation. Weirdly, now that I have seen enough spoilers to know how Season One ends, I find it much easier to watch. But I'm enjoying it in the same was as one might watch S&TC: boy, if I were Ned, I could manage things better.
I don't think we only watch because we identify with the hero. I think we watch because we separate ourselves from the hero. We think, "I may be a romantic idiot sometimes, but I would at least wait to see if Juliet is really for sure dead before stabbing myself." Or, "No, you old fool, keep your kingdom and let your daughters have it when you're dead." Or (my favorite): "Now that the witches have said you are destined to become king, avoid becoming king as long as possible: you cannot die until you do!"
You watch BREAKING BAD, as somebody said, to get to say, "Walter, no!" and "Jesse, think!"
When you write a script, don't just track the characters' emotions. Track also the audience's emotions. Make sure they get to have some fun ones. Fun emotions may be exciting negative ones or reassuring positive ones, or both in the same piece, but make sure they get to have'em.