I'm not sure if this fits the topic perfectly, as I don't really think either character is ultimately sympathetic at all, but "Candidate For Crime" is an episode that comes to mind.
Both Nelson and Harry are completely reprehensible, but if I put myself in Nelson's position I can certainly sympathize with the pressure he's under from Harry, if not his actual sense of values.
With Harry, while I don't sympathize with his selfish motives for ending Nelson's affair or his general manner, I somewhat sadistically relish the thought that someone as arrogant and self-centered as Nelson has had to deal with a guy like Harry for so long (of course, after Harry's murder, Columbo sort of slips into the role of Nelson's gadfly, thankfully with much purer intentions in breaking Nelson down than Harry ever had).