It's more the idolization of the character's will to act on his beliefs, something that most people cannot do in any serious way for fear of the consequences. People don't idolize Rorschach's insanity (I hope) so much as his moral fiber and damn-the-consequences behaviour, like V and Tyler Durden. Humans generally aren't doers. They are mostly sheep. But they sympathize with the morality of beating a child murderer to death, even if they would never do it themselves in the same situation.