Zuko is an anti-hero. Not quite evil, not quite good. Think of Han Solo or Catwoman; they CAN do good, and they CAN do bad, but it's a toss up what they'll do.
Azula is crazy. I can't think of a better way to put that. She's evil, but she looks cool while being evil!
Ozai IS evil. He scarred his son then sent him on a seemingly impossible quest, then he sends Zhao after him, then Azula! He also got the place of 'Fire Lord' over his older brother, Iroh, who SHOULD have been Fire Lord!
Ty Lee was bullied into joining, remember? She was up on the highwire when Azula ordered the net set on fire and the animals let loose...What would YOU have done??
Mai is...I dunno what Mia is...
Jet thought that drowning the firebenders was right, even if there were innocent??people there. He might fall under anti-hero too. He's misguided, not evil.