The vast majority of books, movies, TV series and games end up with the good guys winning, no matter how improbable it is considering the setting. The main character(s) will save the day and will range from being a total goodie-two-shoes to somewhat flawed individuals. The bad guys will either be defeated, killed, or will redeem themselves in the end. How many times can you read/watch/play that stuff before it gets boring? At some point, it feels pointless to start something, because you more or less you know the outcome anyway.
Then come the exceptions. Something like No Country for Old Men, which just tells a story. It doesn't really teach you anything (aside from the fact that real life is not like movies I guess), there's no moral at the end, the bad guy survives largely unchanged and presumably continues to do what he did. It's refreshing to just enjoy a story that isn't trying to teach, moralize or attack you with propaganda.
Others already touched on the subjects of evil (or "evil") characters being simply cool. And now, thanks to some games, you get to play that cool guy and actually win.
For me, personally, there's also that great untapped potential of defiling expectations. The best example is probably playing a Sith in SWTOR, where other characters will be often completely baffled whenever you act in a non-Sith manner. It makes "good" choices all the more impactful, completely opposite to when acting like a good boy is the default, expected behavior.
That said, for me to play as an evil character, requires "evil" options that actually make sense. That means usually very pragmatic choices, morally dubious, but that offer a result that has a merit. Being a murderous psycho has little appeal. What you want is an end justifies the means approach, a faction that offers e.g. security at the cost of freedom vs a faction that offers freedom at the cost of security. Sacrificing an entire race for a guaranteed survival with little losses of other races vs attempting to save said race, which results in a war that might be lost and will surely cost a lot of lives. Basically, choices where you throw your empathy and morality out of the window, but which everyone asked will eventually concede that you had your reasons to make them. There's no reason to bully a kid and steal his toy other than satisfying your sick psychopathic tendencies, and while choices like that are okay every here and there as a gag, they get boring quickly and should never form the basis of evil choices/playthroughs.
- Someone was perfectly happy to kill you without any question just a moment before, but is now begging for mercy? Execute them, it only makes sense.
- Your opposing faction high-ranked member surrenders, but you know they'll be very dangerous as long as they're alive? Throw the Geneva Convention out of the window and execute them, your faction's victory is more important than everything else.
- Your mission requires you to get a device that a scientist came up with. He hates your faction, though, and while he reluctantly gives it to you to save his own life, he wants nothing to do with you later. Either kill him or kidnap him for your faction, he's too dangerous to be left alone and might end up working for your enemies.
- Torturing someone to get information that furthers yours/your faction's goals? Sure.
- Framing someone innocent to save your own skin or that of your companion, or someone important from your faction? Makes sense.
- Murder and raze an entire village and blame someone else for it so that you get crowned the Lord/Lady or whatever instead of them? A beneficial choice.
These are the types of evil choices I want in games.
If I had to pick the game with best "evil" playthroughs, then SWTOR definitely takes the cake. On the Republic side, it basically means playing renegade Shepard, while on the Sith Empire side it varies between the stereotypical angry Sith that just kills everyone left and right as they see fit and a very pragmatic person. The pragmatic choices are further split into being self-serving, power hungry, deceitful and Imperial loyalist, interested in the common good of Imperial citizens, and firm but fair. It's a real shame that it's all locked behind a shitty MMO gameplay.
As for evil waifus, they're attractive because they usually display a set of traits that rarely if ever materializes in real life at the same time. Attractiveness, sensuality, ambition, authority, capability, intelligence, drive, etc.