Stories require conflict; it's more or less a truism that in order to have a plot you have to have some challenge facing the main character; your hero must be in danger. In order to come up with conflict, many (screen) writers go for the easy way out: they have their characters make stupid or immoral decisions, and the danger ends up being whether they're going to pay for their sins.
(Drama is a separate category, of course. Drama is supposed to be about the repercussions of immoral actions. In its Greek origins it was largely about people paying for their sins, or the gods sins, or someone's sins. Occasionally for the sins that they would later commit.)
But with a little more skill, I think that something far less morally offensive would be equally as interesting, and really more so, since it would leave you with characters who you could care whether they survive their danger. In particular, the danger can be whether the character gives in to temptation. I don't mean this in the morality-play sense, but rather in a realistic sense. Let me give an example:
Suppose that you have a happily married man who has a life, and so meets women. Being an actually healthy man, he'll become friends with some of them, some of them will be attractive women, and some of them will be attractive women that he makes friends with. You could have quite a series of plots of the man nearly falling for the women he meets, and nearly cheating on his wife. Some people will object that unless he occasionally cheats, people won't believe that the danger is real. These same people rarely suggest that the hero of an action series should die occasionally to show that the danger is real. And besides, fiction is all about getting caught up in the moment. Believing the danger isn't about how many times people have succumbed before, it's all about story telling. In Serenity, several main characters were killed off, but I never for a moment doubted whether River was going to be killed by the gang of Reavers she was fighting. When the door opened to reveal her standing, the only thing that I doubted was whether she was going to be standing there alone, or finishing off the last Reaver. The story wasn't crafted in a way that would make any sense if River didn't win the fight easily, so I never believed that anything else would happen. Making danger believable is about crafting a story that would make sense either if the hero avoid the trap or if the hero falls into the trap. If the story would make (artistic) sense with the bad ending, it will feel dangerous. If the story has only one conclusion in which the story isn't a steaming pile of crap, no one will expect the story to go anywhere else. If you craft a police drama in which nothing supernatural has happened for the first 15 seasons, and there's a character that the hero grows fond of who claims to have been abducted by aliens, it's true that the most likely explanation is that the character is crazy. But if you write the story so that it would make sense if the aliens really existed — if you really give it emotional reality and somewhere to go — the audience will wonder if the character really was abducted by aliens.
I pick the example of possible infidelity because it's an example where you can really dwell on the temptation. The temptation can be interesting, and in some sense shared. You can almost start to root for the character to do the wrong thing, and then share in the triumph when they don't. And to some degree in the regret, too; someone who is tempted will always be tempted to wonder what it might have been like if they had given in.
There are other possibilities, of course. Most other sins have fairly ugly or esoteric temptations, or the temptations are very short lived. If you show a person tempted to murder another, the immediate temptation of having both strong motive and opportunity are not likely to last long. Stealing would be very difficult to examine simply because the temptation is generally too petty or too pathetic. The damage done is also less obvious, since what is stolen can always be restored. Still, it might be possible to come up with a story about nearly stealing. At least a few good stories have been told about rehabilitated jewel thieves, now that I think of it. (To Catch a Thief.)