Ooooh, this is one heck of a question to answer! There's a lot to unpack for me, because I don't always really reflect on WHY I like things. Also, I don't have one single story to which I can point and say "this one is my favourite," so I'll be using several examples.
But here goes.
1.) Complex, real characters. I like a bit of depth to characters, a bit of a mystery to pick at and find out more about. I don't really have a set type of character I prefer the most - it all depends on context - but I appreciate it when they feel real. And, like real people, make mistakes, have prejudices, get confused, get angry over little things - and big things! - are selfish, are heroic, have their shining moments of glory, have personality quirks that are entirely theirs and aren't just there to carry the story forward. And I don't need to be cheering them on in every decision they make, or support them in everything they believe - in fact, I'm fine if I don't. I like problematic characters.
Just to name a random example - one of my favourite ASOIAF-characters is Jaime Lannister (and, to be clear, I'm speaking of the book-version, not the tv-show-version). He is, considered objectively, a terrible person. I mean "terrible" as in "chucks children out of seventh-story windows" kind of terrible. He's arrogant and thoughtless and cruel and horrible and throws children out of windows and yeah. He sucks. But the reason he's my favourite character isn't because I'm cheering him on in doing all these things - it's because he has complex reasons for doing them, and, at a certain point, starts working hard to change himself. It doesn't really matter if he succeeds or not - just watching him try is fascinating to me.
This is part of why I like longer-format storytelling - like books, or long-form comics, or tv-series. There's more space to explore that complexity. There's more breathing room for characters to be wrong, to make mistakes, and to have time to stay in that position for a while - the way real people do - before they can work their way back to being right. In shorter format stories - like, in movies or oneshot comics, or whatever - they need to go through that change faster, because there's less time for the story to play out in, and therefore less time for them to reach the end of their character arc.
2.) Worldbuilding. I'll admit - I'm a sucker for good worldbuilding.
I like stories that transport me to new places and explore new things, and do this with a sense of solidity and specificity. When I read a fantasy novel, I don't just want to be transported to Generic, White-Washed Medieval Europe version #34651. I want this to be a specific place. And if the story and the world allows for it, I want creators to stretch their muscles as much as possible. Don't give me Random Farming Village or Generic Castle. Give me mountains made of crystals! Give me islands floating in the sky! Give me worlds with three moons or two suns!
Stretch a little. Sometimes the shape of your story doesn't allow for floating islands or crystal mountains, but I want to leave the story knowing I've spent my time in a specific place; not just A Village, but this village.
Paying attention to even the tiniest things can help make a story feel grounded and solid, even if the setting itself isn't a huge stretch to imagine. Like in Mad Max: Fury Road - the war boys all greet each other by putting their hands together and interlacing their fingers. At first, this just looks like a regular weird gesture - until you realise that they are mimicing the shape of a V8-engine block. Which, in a world that is so car-focused, is actually a really neat detail.
3.) Moral dilemmas/conflicts. And I don't just mean situations in which the hero/ine has to decide whether to save an individual or a larger group of people (i.e: killing this one person will save the world, but killing people is bad!). I mean situations in which there is more than one right answer - or at least more than one answer that is possibly right - and conflicts in which it isn't good vs. evil, but rather someone who approaches a complicated problem one way vs. someone who approaches the same problem in another way.
I want stories in which I can sympathise with both sides, and in which the characters realise that the opposing side isn't necessarily evil or terrible or 100% wrong; they're just opposing you for good, sensible reasons, but now you have to fight them any way because you cannot live with yourself if their side wins. That kind of thing.
4.) Consequences of actions. This plays into both points 1 and 3. I don't like it when heroes get away with doing things they shouldn't get away with, just because they're heroes. If there are rules, you can't break them just for one character and get away with it. A lack of consequences makes for a boring story. If, as in the previous point, the character has to make a tough decision, it is NOT fun when the creator then turns around and makes all potentially bad outcomes go away. If you choose to save the individual, then the bad consequences have to happen to the bigger group. If you choose to save those millions of people, then guess what - bad things have to happen to the individual, if that is the conflict you've presented to me.
You can't just wave that away with a deus ex machina where whoops, I guess there WAS a way to save both of them, and the hero didn't even have to think about it!
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As for how this plays into my own stories... Well. I like to think I'm building a cast in Grassblades that is complex and have layers and depths to them that may not be immediately obvious, but which are definitely there. Masahiro is somewhat problematic in that he's not actually a very pleasant man - he's grumpy and rude and very much focused on himself, and he takes this terrible mood out on a little girl. He helps people, but it's not exactly his mission in life - a lot of the time, it happens by accident.
And the antagonists won't be bottomlessly evil people; they'll just be people, who are doing things that need doing. It just so happens that their goals are in conflict with Masahiro's own.
And there will be plenty of hard choices made, conflicts encountered and consequences lived with as the story goes on.