There's a complexity to his character that goes well beyond just "YO, BRO JUST KILLED HIS KID!"- and although his sense of justice and divinity is absolutely brutal, he also showed aspects of honor that (apparently) he made a name for himself over the years with. I feel like, more than a lot of characters on this show, Stannis could easily be viewed as a tragic character. He's an honorable man that became engulfed and brainwashed by religious zealotry. Even if he does win the Iron Throne, I feel like the cost will be too great for him to ever bear. He had one last piece of humanity to hold onto- and it just went up in a sacrificial fire.
This show/story is fascinating, but constantly heartbreaking.