I will add a +1 to "it's only a tv show". You can look at practically any TV show with a critical eye, and come away with "bad morals" and "sensationalism". We are not supposed to identify with him, nor are we really even supposed to like him. He doesn't like himself, and that is one of the great points about the show. If anything we are supposed to feel sorry for him. He wants to be normal but he can't. He doesn't understand why people feel the way that they do. Yes, he is a sadistic torturous sociopath, but that is also the point of the show, that we all have things that we "like" and "feel", and that just happens to be it for him, and he can't and doesn't really want to change it. It is a very unique concept, and if the concept bothers you then definitely don't watch it. But what about any other HBO show, like the Sopranos or the Tudors. People want to watch things that don't happen in their real lives. That's why it's called entertainment and not the "this is how you should act in real life show". Did Batman "sensationalize" vigilantism? Obviously he handles things from a different moral perspective, but he still does the same basic thing.
Personally I really enjoy anything with sociopathic, cold villains and anti heroes.