Katey Sagal (Leela's voice actress) described Leela as "...vulnerable and hard at the same time", which I think is 100% accurate and why I like her character.
She's smart, tough, and probably the only competent person on the Planet Express payroll. But they avoid the trope of the "tough chick" by letting her be emotional and feminine as well.
Her relationship with Fry feels realistic because she's every bit as messed up as him. Neither one is perfect and as they grow to understand that, they grow as a couple.
Also, Leela is a total bad-ass.
Like Fry, my favorite episodes with Leela are ones about their relationship. For Leela, my favorite episode is "The Sting". It's a great Leela-centered episode and, to me, it shows how she's starting to feel something for Fry, even if it's still a bit subconsciously.
"Please don't stop playing, Fry. I want to hear how it ends."