I agree that he is pretty much a huge piece of shit, but he did it to impress the father that was taken away from him at the age of 9. Its not by any means an excuse but the guy WAS technically a prisoner of these people half his life, despite the fact that he was treated like he was a part of the family. Last season, I was more inclined to hate the shit out of Theon just like you, but after hearing his heart filled confession a couple episodes back about who his real father was I can't help but feel a bit bad for him.
I doubt it has anything to do with him being loved though, it has more to do with the horrible torture he is being put through. People, including myself, don't want to be subjected to viewing someone being tortured, no matter who the individual is. The show is doing a great job of making people feel sorry for him, something the book hasn't been able to do for me whatsoever.
The same can be said for Jaime, and do you hate him? At this point I don't think there are many people who CAN hate him. This was a seriously awesome episode though. Not as good as Blackwater last year but on par with The Pointy End, I love when GRRM writes an episode, always so much content.