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I like a good mix of different things in stories, A good thrill, some well developed characters, depth and background that works in flowing narrative with everything else.
I particularly enjoy stories of the little guy overcoming large odds and growing, as well as many sword and sorcery settings.
though i think the main these I like reading in books, comics and seeing in film, tv and games is that of the persecuted overcoming and showing how strong they really are. Anything from gay characters overcoming oppression or women overcoming belittlement or the bullied overcoming the bullies.