It's hard to feel sympathetic for Lights. We're watching him fall further and further into crime because he needs money to support his family. That's fair enough, and similar to how Vic Mackey and Walter White started down the long road to hell. But then we take a step back. Lights has a huge house, nice cars, his kids have plenty of extracurricular activities and private education, and he's putting his wife through medical school. Every family goes through money problems once in a while, especially since the 2008 recession, but what they do that Lights doesn't is cut down on expenses. There is a much better choice than turning to crime, so I certainly won't feel bad once things get more serious.
Because Patrick Leary is set up as a guy who'll do anything to support his lifestyle, rather than simultaneously following the law and protecting his family, the emotion in "Cakewalk" comes off very fake. To me, Lights seems closer to a sociopath Tony Soprano than a well-meaning guy like Walter White at the beginning of Breaking Bad. However, I liked that Theresa, despite all her attempts to reign Lights in, decides to lie for him to the police.