Harley Quinn was no more than a sidepiece for Joker and though she was obsessed with him and called him her "puddin'" or "Daddy" it seems more like he just lets her be instead of actually reciprocating her feelings. She's manipulated by him and often used as a distraction for Batman's forces or simply for stirring up trouble. Plus it doesn't hurt that Harley is always loyal to Joker and will do anything to break him out. Every. Single. Time. You can't help but feel a bit sorry for her.
Probably one of my favourite portrayals of her is in Injustice: Gods Among Us. Even though it's not canon (and I'm a big stickler for official things), it's just so unique that I can't help but read it. In the series, the typical lines between bad and evil are blurred and you have bad and good guys on both sides, one led by Superman fighting for complete domination of the worlds to "govern it peacefully" and the other led by Batman simply to fight the control of Superman (because we all know how corruptible dictatorships are). Anyway, Harley's on Batman's side and we see a deeper side to her. Remember how I said that she was pretty much Joker's trophy girlfriend? Yeah, well a lot of writers treat her as such too so we don't really get a more dimensional character. However in this story line, we learn that she has a daughter named Lucy. We see how hurt she was by Joker's indifference to her absence. But most importantly, we feel how she feels.