He's a man of many aliases: "Angel Dust", "Killing Judge", and, to the kids at the orphanage, just "Father Anderson". Paladin Alexander Anderson is also a far more complex man than any of them would suspect.
When we first meet him, he's seen as little more than Iscariot's attempt at a counterpart to Alucard. He's a regenerator, modified by Vatican experiments to grow back lost limbs and heal rapidly from injuries as bad as a point-blank shot to the head.
On the offensive, Alex has an apparently infinite supply of blessed bayonets. He uses them on everything from vampires to heretics to people the Vatican just doesn't like.
(Hirano: "I think there are some people wondering where Father Anderson hides all those bayonets. Anderson is fourth dimensional, so there.")
In battle, Alex is a fanatic; in fact, he has a very difficult time repressing murderous urges when around vampires. Even when sent to bail out Alucard, Seras, and Pip from Rio, he couldn't deliver his message without getting into a fistfight. Where this trait came from we don't know, and quite possibly never will.
But when he's not fighting, Alex is a sweet guy. He works at a Catholic orphanage near Rome, and is genuinely good with the kids. When he's in a good mood, he even has a sense of humor.
On top of this, Alex is the first member of Iscariot to start questioning its motives, and the first to stop blindly following orders. He has the capacity for critical thinking, and he finally starts to use it.
Why love Alex? Because he's much, much brighter than he first appears. Because he's complex and deep and layered. Because he's fourth-dimensional.
And because he has a cool Scottish accent. (In the TV anime dub, that is. The manga makes it unreadable, the original versions don't have it, and the jury's still out on whether he's actually Scottish or Irish. But, in at least one place, he has it and it works.)