He's one of my favorites too. I'd place Reagan well above him though. From what little I know though, one real downside to TR was that he took the view that if the Constitution didn't specificly prohibit him from doing something, he was gonna do it. He was definitely NOT a strict constructionist. I'd say that, all in all, I like the actions that he took.... America is a better place as a result.... but I think that he DID also do some harm by making up his own rules where he felt that the Constitution was a bit too constraining.
TR supported breaking up the "trusts" (large corporations). He was a more effective anti-big business person than Clinton ever was.
TR ran a scorched earth third party campaign full of anti-business "populist" rhetoric. He did this after being Pres. cause he wanted a third term. He caused the defeat of the Republican who loyally served as his VP for two terms. This led to the election of a leftist Democrat who helped push through Income Tax (which TR supported) and the Fed Reserve Bank. TR doesn't fit my view of a great President, though he might be considered a great military figure.