I told them all to go to hell. You did not belong along across the world with the bloody stone men. You are the Princess Shireen of House Baratheon, and you are my daughter.
Stannis Baratheon is a hard man to figure out. Back in season two, he was the scorned older brother with the most legitimate claim to the Iron Throne, yet he had no clue how to command the loyalty of the other lords. Renly knew how to do that. He was likable guy, charismatic and humble, yet he was younger than Stannis and no where close to the front of the line of succession. People supported him anyway because they didn’t want to support Stannis. The Lord of Dragonstone was not only extremely cold and rigid, he had forsaken the Faith of the Seven for the mysterious Lord of Light, represented by the mysterious and seductive Melisandre. Stannis couldn’t defeat his brother on the field of battle, so he used Melisandre’s magic to slay his own flesh and blood and steal all of the bannermen. When Stannis was defeated in the Battle of the Blackwater, he retreated back to Dragonstone, threw his friend Ser Davos into a dungeon and spent his time brooding and listening to Melisandre as she whispered into his ear.
In other words, Stannis was no one’s favorite character.
Flash forward to season five and my how things have changed. Not only was Stannis the only king who came to the aid of the Night’s Watch (you never saw the King in the North spare any of his men for the Wall) but now he’s the only one who wants to bring the Boltons to justice. And now we even get lovely little scenes like this, where Stannis reveals a side of himself that we never get to see. It was almost Ned Stark-esque in the way that Stannis revealed not only is he not ashamed of his daughter, but he did everything he could to save her when everyone else had already given up on her.
In other words, Stannis is one of the best characters on the show. He may have murdered his brother, but in the words of the Hound, there are others who are plenty worse.