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If this is the case, it's a Hazy Feel Turn.
This is when someone doesn't waver from black to white and back, but from gray to grey. We know the position's changed, but how so? Is he good or evil? Gone from good to a different kind of good? It's hard to tell because everyone in the piece wavers.
To be clear, the characters and readers know which side the turner is on (or at least which party he joined). It's about the readers not knowing if his turn was towards good or towards bad, because they don't know if the party he joined is good or bad. The other characters in the show will usually describe it as a Heel Face Turn if he joined their group and as a Face Heel Turn if he joined their enemies, because most people will consider their own group the good side and the other side the bad side.
Keep in mind that this trope is about a change of sides, not about characters. It's not enough for a character to have an ambiguous alignment, he must also actively change sides from one ambiguous group to another (or from one good / bad group to another, as long as you can't tell which one of the two is better).
Unmarked Spoilers Ahead, for obvious reasons.
- Happens a fair amount in Code Geass, especially with Suzaku.
- In Inuyasha, Sesshomaru is a stoic antagonist to Inuyasha who doesn't hate his younger brother, but wants to kill him for personal reasons. Once Naraku teams up with Sesshomaru and almost immediately betrays him, and the latter is tended to by Rin, he more or less switches from Inuyasha's amoral antagonist into a lesser evil who is much more interested in killing Naraku. Spends most of the manga not officially allied to Inuyasha because he's too busy just passing through. This changes after Magatsuhi enters the storyline. From that point on, he's much more open about helping and even protecting Inuyasha's group
- Desert Punk in his own show. You're not really sure who's good or bad by the end of the conflict, but you know he switched sides.
- In One Piece, X. Drake was formerly a rear-admiral of the Marines before he turned pirate. While there is no doubting that pirates are generally considered menaces by most of the populace, the corrupted World Government and the Marines have been shown to be just as cruel, making the nature of this change quite hazy indeed.
- In Nabari no Ou, Miharu runs away from Banten and joins Kairoushuu.
- In the film of Watchmen, Dr. Manhattan does this at the end, defecting to Ozymandias' side from Rorschach's.
- By the third Pirates of the Caribbean everybody drops all and any pretence of decency and contracts Chronic Backstabbing Disorder.
- In the Warchild series, the main character changes his allegiance three, arguably four times. And each time is subtle and we're not quite sure if he's sided with the "good guys" (if there are any) or not. He's not even sure, half the time.
- The Chathrand Voyages features a ton of this. It's set on a ship populated by a full Morality Kitchen Sink, with a mind-boggling Gambit Pileup between almost every character. This means the three main protagonists are constantly switching allegiances depending on who's the most likely to help them stop whatever evil plan is the most pressing at the moment.
- Diana Ladris, the Dark Chick in the Five-Bad Band of Gone, switches from Caine's side to Sam's side at the end of the fourth book, but she's always been loyal, primarily, to herself, and this doesn't seem to have changed that, seeing as she only switched once she lost most of the control she had over Cane after sleeping with him. Her decision was implied to have been partly out of conscience, partly out of self interest, and partly because she's pregnant.
- Several characters in Heroes, most notably Nathan, have done this at some point or another.
- This goes on a lot in Lost.
- Dear god, Dollhouse. Dominic's betrayal is probably the best example.
- The second season of Boardwalk Empire has the Commodore, Eli, and Jimmy conspiring against Nucky. All of these characters used to be on the same side, but Jimmy and Nucky are portrayed as sympathetic Villain Protagonists before and after the sides changed. The only hint that the conspirators are supposed to be the "bad guys" is that the Commodore and Eli have gotten much less sympathetic treatment lately.
- Alex Krycek. He has a terrible case of Chronic Backstabbing Disorder, but it can be hard to tell just who he's backstabbing at any given time. Starts out as The Mole, until his bosses try to blow him up, and winds up in a few Enemy Mine situations with Mulder (resulting in much Foe Yay). He'll also try to play all his enemies off one another at the same time, until it's impossible to tell if he's working for anyone but himself. This tends to lead to him being The Chew Toy whenever he gets caught.
- Revolver Ocelot from Metal Gear switches sides so often in a confusing world that it's impossible to tell if he's on the right side.
- The Praetorian Morality missions in City of Heroes are like this. It basically amounts to picking which side you like more.
- One thing Deus Ex Invisible War arguably improved is that it removed its predecessor's rigid alignment of forces that forced-allied the PC with the conditionally good Illuminaty against the unconditionally evil Majestic-12. Now everybody is a different kind of asshole and the PC is free to switch allegiances like gloves.
- Fallout: New Vegas allows you to switch it up as you want, and while say the Legion is evil, they also made peace out of the chaos of Arizona. It's up to the player to make a heavy choice between the Good-but-ineffective-and-corrupt NCR, the Limited-freedom-but-still-free Dictator, or the Evil-but-keeps-shit-in-order Legion. Alternatively, you can seize power for yourself, which turns into Objectivist Anarchy.
- The Arcade Ladder endings for Liu Kang and Shang Tsung in Mortal Kombat 9: Liu Kang replaces Raiden as the Thunder God and Protector of Earthrealm, and becomes Drunk with Power. Bo'Rai Cho takes on Shang Tsung as a student and teaches him techniques that will allow him to defeat the power-mad Liu Kang.
- In Red vs. Blue, Sister initially ends up on the Red Team due to screwing up her orders, then later switches to the Blue Team when the other characters figure the matter out. Considering both teams are pretty much the same as the other, and the apathetic nature of the teams' conflict by that point, it doesn't really matter all that much.
- In Eight Bit Theater, Black Mage leaves the Light Warriors to join the Dark Warriors. Drizz'l, the leader of the Dark Warriors, is voted out with Black Mage being the new leader. Drizz'l joins the Light Warriors. Then the other group of adventurers shows up, and is confused about who they should and should not be fighting, due to Black Mage switching sides. Then they hold another election. Then things get complicated, and Black Mage starts stabbing people.
- Pretty much any time someone changes sides in Erfworld. Especially Charlie, a mercenary who's officially in the business of solving problems for clients, but has no problem letting clients get in deeper trouble so he can get paid more in the long run.
- In the Prolecto series, a few of the succubi end up undergoing this. They decides to change things, because the world sucks...but then behave with remarkable control. http://www.furaffinity.net/view/6721353
- David Xanatos from Gargoyles never actually repented being evil; he was just appreciative when the clan saved his son and redirected his energies away from screwing with them. Giving them the right to live in their castle didn't really require any sacrifice on his part anyways.
- The short-lived comic confirms that Xanatos is still plotting, he just tries to keep the Gargoyles out of it. However, he still has backup plans in case they interfere.
- Getting a clan of gargoyle(s) (stand-ins) to stay in the castle and guard his skyscraper for him was the whole point of many of his schemes. So in the end, he still comes out on top. Indeed, he was never really evil to begin with, he's amoral and equally capable of perverted atrocities and heroically rescuing his beloved wife and infant son.
- Maximus in Tangled turned from chasing Flynn Rider for stealing the crown to helping him escape the guards. But neither Flynn nor guards are the bad guys of the story.