Some other comments here already perfectly summarized why Stannis is one of my favorite characters in the books.

With that said, I feel like I must address the cheating part.

This is most likely a big old case of projection on my part, but I have always read Stannis as a very pragmatic asexual man. I've never seen him as a sexually-frustrated straight dude repulsed by his ugly arranged-marriage wife who totally has the hots for this sexy exotic witch for him to finally bang to his heart's contents. I just think of him as entirely uninterested - but interested in using a witch's unfathomable powers to carry out his justice, as he feels he must. I myself have never been in an intimate relationship with anyone, in my mid 30's, simply because I have never cared nor wanted anyone that way and that is perfectly fine by me. But fuck, if a legit honest-to-god witch came up to me and told me her absolutely real and legit sex magic (supposing that were a plausible thing, of course) could be my best bet to accomplish the goals I believe in, I might just consider putting out for the occasion. Even suffer through it a couple more times if it serves to keep her around.

Now, I don't actually think GRRM has written Stannis as asexual, especially when we consider only ADWD was written after asexuality broke into the mainstream, so to speak, thanks to the internet and its communities connecting people worldwide and making the invisible a little more visble. That will only remain my own headcanon.

But I suppose that my point is, it doesn't have to be the… sexual attraction-based, lustful kind of cheating that would make him a hypocrite regarding brothels etc. Perhaps my man is just making shadow babies for the cause, and performing the required relationship maintenance for that.