If I watch some new anime series with a cast of 100 characters, the one I develop a bit of a crush on is 80% of the time going to be a villain. Not usually the big bad, but some sidekick or underling villain who talks big but is inwardly insecure, and his plans are clever and creative and usually not outright sadistic or bloodthirsty, but they probably don't actually succeed all that often because he's got some kind of blind spot or weak area. And a sad backstory that makes me want to give him chocolate and cuddles until he smiles.
But it's important to distinguish that I don't really want to be a villain in an interactive story or game. I don't really want to be a hero either, at least not in the traditional superhero sense. I like being a character who is one of the smartest characters in a setting, gathering knowledge as a game goes on, and using my knowledge to explore with minimal risk to myself and also to solve others' problems for pay, both activities leading to me becoming one of the wealthiest characters in the setting. I might use my knowledge and wealth to help the heroes if they pay for my help, but I also might help a villain if they present a good case.
I'm also quite fond of settings where the "official" good guys are actually the bad guys and the "official" villains are actually the good guys. The whole "good is dumb" trope really lends itself to this. Especially if there's a bit of a comic flavor to the whole thing.