heroes, anti-heroes, and ensemble casts
This doesn't come up in all fiction, of course. A TV show with an ensemble cast, by definition, doesn't call out one character as "the main guy", and I find I both tolerate and relish many shades of gray there. B5's Londo is a fascinating character to me, for instance. I actually prefer ensemble shows, by the way, because they seem to allow for richer characters.
Jack Bauer on 24 tries to be a hero, but as this season goes on I'm becoming convinced that he is pretty much completely amoral, and there's nothing heroic about that. The character and the show do not fit any of the molds I've described as liking -- he's not a hero I identify with, he's not a fascinating character study, and 24 certainly is not an ensemble show. And yet I find myself watching it every week, and wanting to watch it on the broadcast night. I don't know why.
This ramble was inspired in particular by the last five minutes of this week's episode. There darn well better be consequences.
Edit: A cleaner way of saying this might be: if there is a main character then I want to either like or be fascinated by him; this is not true of Jack Bauer; yet I still watch.

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Story-wise it would make sense, particularly if the (ex-, I imagine) girlfriend is the one who pulls the trigger. Business-wise, though, I suspect you're right. They haven't built up any other characters enough to be able to go forward with a new central character, and practically no one shuts down a series because the story is done rather than because the business decision calls for it. (Ok, maybe they could do something with a Tony-centered story, but I don't think it would work very well.)
I haven't seen the second season yet, or most of the third. We started watching (via external prompt) about three-quarters of the way through the third season. I've gone back and watched the first season on DVD, but nothing else so far. I'm not sure if I will; reviews of the second season are weaker than those of the first and I don't feel a strong urge to pick up the earlier bits of the third season when I already know how it turns out.
And when I saw Bauer kill the criminal in order to present the guy's head to the bad guys so he would be accepted into their conspiracy as a double agent, I had to keep watching.
Did he at least angst over it a bit like he did before killing his boss to placate different criminals in the third season?
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Of course, he made that argument after killing the guy, so it was a done deal, but still...