I tend to agree with you, Kimberly. I've always thought Jane Grey very unfortunate and a sympathetic figure overall, because of her unhappy childhood and terrible fate, but as a personality, let's face it, she was something of a prig and a pedant. She was every bit as rigid and intolerant in her religious views as her cousin, Edward VI. But perhaps my view of her has also been colored by Jane Austen's wonderfully catty description of her in the Tower after the execution of Guildford. Austen writes in her mock History of England that Jane "wrote a sentence in Latin and another one in Greek as she saw the dead body of her husband passing by."
P.S. I am quoting from memory since I don't have the text in front of me!