If you read the entire Oz series, the overall answer to that question of Dorothy's from the MGM movie is definitely "good." But L. Frank Baum seemed to be toying with another possibility early on. Even though the Wizard refers to himself in the first book as a very good man, but a very bad wizard, the stage play made him a bad man as well. If what I've heard of this play is correct, the Wizard stole the throne from King Pastoria, who later returns and tries to have all of the Wizard's supporters, into which group he places Dorothy and her companions, executed. On top of this, a nobleman named Sir Wiley Gyle is trying to steal the throne for himself. Complicated, huh? Most of these elements were never incorporated into future books, the main exception being the name Pastoria for the last King of Oz. In The Land of Oz, it's rumored that the Wizard took the throne from Pastoria, and verified by Glinda's lie-detecting pearl that he brought Pastoria's daughter Ozma to the Wicked Witch Mombi. When the Wizard returns in Dorothy and the Wizard in Oz, and he and Ozma exchange accounts of Ozian history, she makes no mention of the Wizard's involvement in her disappearance. Instead, she says, "Mombi was still my grandfather's jailor, and afterward my father's jailor. When I was born she transformed me into a boy, hoping that no one would ever recognize me and know that I was the rightful Princess of the Land of Oz." The simplest reading of this suggests that not only was Ozma born into captivity, but her father Pastoria was as well. It doesn't explicitly say that, though, and the only way to make it work with what we're told in other books is to assume that there were gaps in between her capture of these three successive generations of royalty. But since Ozma was around for the questioning of Mombi in Land, why didn't she bring up the Wizard's part in this? We could simply assume that Baum changed his mind, and while that makes sense given his general mode of operations, it's not much fun. Maybe she didn't want to bring up the charges against the Wizard in the presence of his friends, but planned to question him about them later. Given her treatment of Dorothy's kitten Eureka in the same book, however, I'm not sure Ozma was that tactful at the time of this story. The Lost King of Oz, which introduces Pastoria as a character in his own right, confirms that he did rule Oz, and that the Wizard did give his daughter into Mombi's keeping (and now feels guilty about that), but that Pastoria was already out of the picture before the Wizard did this. There's a very clever apocryphal story, Hugh Pendexter's "Oz and the Three Witches," that has the Wizard telling the whole story of his rise to power to Ozma and Glinda, and eventually being exonerated of his crimes.
Despite the Wizard's reformation in the books, however, the idea of his being a bad guy hasn't been totally forgotten. In Wicked and its sequels, the Wizard is a Hitler-like dictator who murders with impunity and takes away the rights of talking animals. His portrayal as an outsider who has no respect for the inhabitants of a newly discovered land might actually be closer to that of the conquistadors and other European explorers in the Americas. A wicked Wizard, who refers to himself as a very bad man but a very good wizard, also shows up in an alternate version of Oz in Paradox in Oz.