Morality and ethics have to do with right vs. wrong. Plenty of people in this novel are doing the wrong thing: Mrs. Coulter and the General Oblation Board, for example, are downright baddies. Others are doing shady things but with the best of intentions: for example, the Master of Jordan College, who attempts to poison Lord Asriel. Still others we're a bit hazy on, like the crazy ambitious Lord Asriel. For her part, Lyra always tries her best to do the right thing, but sometimes stuff turns out badly despite her good intentions. (Two words: Poor Roger.)
Philip Pullman is very conscious of questions of morality in his writing. Check out his thoughts on the matter:
"Try as hard as you can, you can't leave out morality from a book. Everything we do, however small, has consequences. The greatest fiction always has a sequence of actions followed by reactions, followed by consequences. […] You can't leave morality out unless your work is so stupid and trivial and so worthless that [nobody] would want to read it anyway." (source)
Wow, tell us what you really think, Phil. True to his word, The Golden Compass asks us to think about hard questions of right and wrong. In the book, just as in life, it's not always clear who or what is good or evil, and Lyra has to puzzle through as best she can.
Over the course of the book, Lyra goes from being an amoral child to a very moral young adult.
In The Golden Compass, there is a clear difference between good and evil.
In The Golden Compass, no characters are wholly good or evil.