Moore may not like it, but deeply disturbed and even outright psychotic as he is, Rorschach is really the only character in Watchmen who can even remotely be considered heroic. Everyone else is either a flat out mass murderer (Ozymandias), literally inhuman (Manhattan), a rapist (the Comedian), or various shades of hypocritical and cowardly (the otherwise sympathetic Nite Owl and Silk Specter).
Rorschach has a moral code, as black and white and, frankly, fundamentalist as it is, and is willing to die for the truth, even if dying for it achieves nothing. You shouldn't want to be like him, perhaps, but that is actually admirable. The only other characters you could remotely want to be like are, again, Nite Owl and Silk Specter, who are at least human with human motivations.