Entertainment is full of people who are best known for roles that either weren't their favorite or which they actively hated.

To be fair though I haven't seen a direct quote by JG saying he hated the Tony Soprano role but I have seen quotes from him saying he was taken aback that people didn't realize he was playing a bad guy.

"When the snows fall and the white winds blow, the lone wolf dies but the pack survives."
Winter is Coming

Now this is the Law of the Jungle—as old and as true as the sky; And the wolf that shall keep it may prosper, but the wolf that shall break it must die.
As the creeper that girdles the tree-trunk, the Law runneth forward and back; For the strength of the Pack is the Wolf, and the strength of the Wolf is the Pack.