From what I've read about them, the one I admire the most is Olga Alexandrovna, the Tsar's sister. What I find most admirable is, that despite her upbringing, she did not seem to have much problems with dealing with "normal" life, at least compared to other family members. She lived nearly as a peasant in Siberia and later as a normal woman in Canada.
I also cannot deny to find Felix Yussupov pretty fascinating. Yes, he was involved in a murder plot, but since probably half the royalty was, maybe even the nun Ella, I think this doesn't make him worse than the rest of the family either.