Quixotic heroes definitely have a place in super hero comics. The Tick is the first to come to my mind. These delusional characters are misguided, but ultimately try to do good. I think there is a place for characters like this in a Gunzo!: True Vigilante game. The characters can be truly idealistic heroes in a grim and gritty world or delusional souls that got sick of being stepped on and fight back, though they are totally outmatch. They could be allies or folks to save. If you want to see a good example of a quixotic hero that would fit right at home in True Vigilante game check out Defendor starring Woody Harrelson.