I'm not going to say the writing they've done for him has been award winning or anything, but I really like how they've done Loki in the movies compared to the comics. Granted, I haven't read a comic with Loki in it for 2 or 3 decades, but he was almost always portrayed as pure "mischievous evil". In the movies he has that glimmer of possible redemption that makes him a much more complex and sympathetic character, versus the 2-dimensional villains in almost every other movie. Like with the trailer for Infinity War, one of the questions is whether or not Loki is siding with Thanos by turning over the Cube. I would bet that he's either doing it to save the remaining Asgardians, or so that he can be on Thanos' good side and possibly undermine him at the perfect moment. You could argue the second one is purely motivated by self gain, but in a roundabout way he'd still be helping people because nothing has indicated that Loki would be as bad an owner of the Infinity Gauntlet as Thanos is. Hell, when he was pretending he was Odin all he did was use it to get admiration and lay around being fed grapes. He didn't actually persecute anyone. Even his original stated purpose (in the first Thor) of freeing humanity from "free will" didn't really last that long. Loki being the eventual owner of the Gauntlet (in the movies) wouldn't really be that bad of a result, honestly. In the comics, no way, game over man.
I think he's great in the movies because he has shades of grey, not black and white like almost every other villain we've encountered. And Hiddleston portrays that perfectly, in my opinion.