I found the Wes/Lilah relationship very interesting, in the same way I like Spike and Buffy--I've always been interested in dark relationships in television/movies. Actually, I remember when I saw the show some years ago and I saw her with Wesley, it really didn't appeal to me. It didn't like Lilah at all at the time but that was probably because I hadn't seen much of the show and didn't really know what was going on.
But after watching all of season 4, I found it enjoyable. It wasn't so much the fact that they were together that interested me but that I really did see some changes in Lilah because of her involvement with Wesley. She'd never admit it, but I really did feel that she was beginning to care for Wesley in a very genuine way, in a way that I never would have thought Lilah could. As bad as she was and claimed to be, I think Wesley was able to touch apart of her that no one else could reach.
One of my favorite moments was when Wesley saved her from the Beast and took her down to the sewers he chose to leave her there. But as he was leaving, she called to him and for a few moments hesitated before telling him that Connor was in the building. I originally thought that during those moments of hesitation she was going to tell Wesley how she felt about him because she certainly looked like that's what she was thinking. But then she faltered and jumped right to telling him about Connor.
I really did like this relationship because of the difficult aspect of it but mostly because I saw a new part of Lilah's character as a result of Wesley. And I thought it was interesting how Wesley seemed to have feelings for Lilah. He deeply loved Fred, I know that, but I think with Lilah--at that point in his life, when he was alienated from his friends and when Gunn and Fred were together, she was able to give him something that he needed, however twisted, and I think they both got something out of the relationship. Wesley's feelings for her really showed through when he was talking to her in his mind before decapitating her. And Lilah's feelings I think showed through when Wesley nobly tried to burn her contract but because of the deal, it couldn't happen. She was genuinely grateful for him trying.