It's a love it or hate it show, like most of Nick's classics. I myself was a huge fan of Angry beavers, Rocko's modern life, AAAAAHHHHH!! Real monsters, of course Invader Zim, The grim adventures of Billy and Mandy(And before you say it, yes, I know that was on Cartoon Network), and a few other odd shows from the time. Really it comes down to nostalgia and attitude. As a kid, things of the goth sort always fascinated me, and I grew an early idea that nearly everyone in the world was an idiot. I suppose those ideals, mostly, are what I owe my love to Grim and Zim.
It was sort of just the anti-cartoon. So chock full of references and more adult jokes that it appealed to someone who wasn't a fan of most entertainment, or people in general. Having a show reinforce your idea that people are mostly complete morons and that the world is a crappy junk heap was sort of comforting. It felt like the show was made for the express purpose of feeding my already hastily developed hate.
Yeah it sound's kinda emo-esque, and I can easily blame shows like that for making our annoying and self-absorbed blights on humanity. But they worked fine for people like me, who eventually just grew into reality easier with the aid of these shows.
But hey, I could be over-analyzing here.