Very true Blue. I think Tony has a strong moral center, he's just trapped in a situation where he can't act upon his revelations. Which is where Melfi has both failed and succeeded. I think the best line in the Sopranos finale was when Tony said to her, "All my decisions have been wrong." That to me was a powerful statement when you look at what's happened over the last 5 seasons (more specifically the last 3).
The way Al talks to his cronies, his behavior towards Bullock, the Chinaman, and Sol, everything he does shows us what direction his moral compass is pointing. He's a lot like Tony, where you basically know what his character is but you never know when he'll just flip and be someone you never expected. Al is just as unpredictable.
And like Gandolfini, McShane gives us more in one stare than most actors (excluding most HBO cast members) can in an entire 10 minute scene. When he peered down at Trixie in that last shot I was just like "Damn I don't want this show to end".