How many solo comic series or graphic novels have there been about Cyclops? How many about Wolverine? How many about Punisher?

There's your answer. Rorschach is an interesting and cool character precisely because he's an edgy vigilante, prone to violence, and with questionable methods. Whatever his personal flaws may be, he is unquestionably heroic, and refuses to give in, no matter what. There's something powerful about that, that "well, I'll go along with it, but maybe do something behind the scenes later on" with a side order of <insesrt appropriate collaborator label here> feel to it, can simply never approach.

You don't have to like the character of Rorschach, but he earns respect for making that choice. Dan is likeable, but "goes along" at the end. There's a reason why folks like that get labels like "sell out" applied to them. And sure. Maybe most people actually do associate the most with Dan, because maybe he's the most like most of us. But he's not the kind of person we want to be, even if maybe, most of the time, he's the person we are. We want our heroes to be more heroic than we are. Dan ain't that.