Gromit
International Man of Misery
Davos is a character that is served better in the books. In that his internal monolouging makes it clear that he knows stannis is a particular type of insane, but is bound to him by honour.
He's not insane. He is ridiculously stubborn and sees the world in black and white with no grey (a lot like many on these boards).
Davos admires the honesty of that whilst at the same time bemoaning the stupidity of it.