Quick shot, because I'm sure you've heard this before: read Nimona! Noelle Stevenson's comic is delightful and you should definitely read it.
I'd never read her before; I gave Lumberjanes a shot, but it just wasn't my thing. Fun and zippy, but a little too YA and punchy, like hanging out with pre-teens on a suger high. Which is what it was going for, and more power to it, but not for me. Nimona, however is for me, and for you, and for anyone into whose hands I can shove it.
So you might call the setting steampunk fantasy, but it's not all that steampunk, I guess. There's magic, and there's chemistry, and it's all mashed up and doesn't matter. Ballister Blackheart is the most famous villain around, brilliant and embittered, scheming constantly to destroy his enemies, Sir Ambrosius Goldenloin, noble hero of the realm, and the Institution of Law Enforcement that he works for. They've got a pretty standard hero/villain balance going on--until a new sidekick shows up at Blackheart's door.
Nimona is young, eager, and really good at being nasty. She's also a shapeshifter. It's all Ballister can do to keep her ambitions in check--to keep her from just destroying the city, instead of trying to bring down the worst of those in power. But she grows on him--and on us--with her vicious good cheer and clever plans. Plus she's a shapeshifter!
So you have fun and charming and rompy. But there's so much more here--Nimona's had a rough life, and the more we get to know her, the more we see why she's so angry. And here's thing one to love--the bad guys here know they're bad guys, but they also have very good reasons to be the way they are. They're not evil for evil's sake--they're standing against something that they believe needs standing against. They're angry for reasons--ask Ballister how he lost his arm--and they're sad and scared and damaged.
And they change. They change each other--Nimona jollying Ballister up; him reining her in. Whenever they talk to Goldenloin (whose name, in case you didn't notice, is Goldenloin), someone comes away with a lot to think about. And as the bigger story starts to build, you start to realize that right and wrong are relative, and that everyone's truly doing their best, by whatever yardstick they use.
This is what I love in a story. If all bad guys were like Ballister Blackheart--well, we'd have more happy endings. You can't argue with that, can you?