Sigyns Sorrow
Oh but we don't have to pick just one thing. We can talk about them all^^
In my opinion the best thing about Loki is, he isn't really evil or the "bad guy" and he isn't really good either.
He's just mischievous. That's his nature. Odin and Thor pushed him into becoming the villianesque character with their ignorant negligence of his brilliance
Even Tom Hiddleston remarked on how, in Thor, Loki is more like a hurt kid who's confused and doesn't know who he is, and lacks that confidence. And that in Avengers he has discovered who he is, and he's good with that. Which is, in my opinion, such great character development, especially for an antagonistic character. Sure, he may be the bad guy, but he has his reasons. In the first movie, he's convinced he's doing what he's doing for the betterment of Asgard. And the drive to do better, even if going about it the wrong way, is a common motivational factor for everyone. It makes the character believable and easy to relate to.
And come Avengers, he's had time to stew and think on what he sees as betrayal and injustice. In his own mind, he's still the "good" one, and Thor and Odin have wronged him.Which makes for a great story start and plot for Avengers, and explains his character style. In so many movies we're introduced to the "Villain" without any reason for them being the villain.
I like how Loki even stated he didn't want the throne (In Thor), and that he was doing it because he was sure his brother was confident enough to rule. Which, at that time, he wasn't. Honestly, Loki's the reason Thor "grew up" and gained a sense of responsibility.
Of course he overreacted to the whole adoption thing... but *shrug* that happens. I do like how he wasn't immediately in that mindset of "Must kill adoptive parents and side with natural family" that we see too often. He stayed legitimately angry with Laufey for abandoning him.