Basically everyone is scared of making Herod angry.
"We must bear away the body to another place," says the first soldier, shortly after the young Syrian commits suicide:
"The Tetrarch does not care to see dead bodies, save the bodies of those whom he himself has slain." (66)
This is Herod in a nutshell. He's a man who has the power to kill—dude even has a "death ring"—but he doesn't like to be reminded that others hold that power also. He's as insecure as they come, and sees evil omens everywhere he looks. Maybe there was a time when he wasn't concerned with thing stuff—ol' H-man had no trouble locking up (and ultimately killing) his own brother—but, by the time we meet him, he's clearly been rattled.
Sure, it doesn't help that he steps in blood the moment he comes on stage, but his anxieties run way deeper. He keeps lamely reassuring himself that he feels happy even though he looks, well, not. He's actually pretty messed up. He hears the beating of huge wings and sees the moon turn blood red. He's super unnerved when the Nazarenes tell him that their Messiah can raise the dead. When he says, "It would be terrible if the dead came back," you know it's because he's scared the men he's killed will soon be back to get their revenge.
Herod's fear makes him a vulnerable and oddly sympathetic character. By play's end, he's in full panic mode:
"If he die also, peradventure some evil may befall me. Verily, he has said that evil will befall some one on the day whereon he dies […] On whom should it fall if it fall not on me?" (367)
And though there is more than a touch of scardy-catness in his voice, there's also something sort of like remorse: he realizes that he has been kind of an idiot and that his lust—for his brother's wife, and then his step-daughter—has led him down a terrible path.
He's disgusted by the actions of his daughter and (to a lesser extent) wife: they're even more bloodthirsty than he is. And though his disgust with them doesn't stop him from bringing death upon someone—actually, it inspires him to call for the execution of Salomé—at least he's coming to terms with his own sin.
In the end, Herod remains a sort of neutral character. Yes, he's been shaken and pretty terrified by the things he's seen, but he's also avoided the deadly extremes of behavior that define Jokanaan and Salomé. He's attempting to walk (unsteadily, but still) a sort of middle ground, and, more than any other character, he succeeds.