It's strange, but I generally like villains more than heroes, despite almost always choosing heroic actions. I guess I enjoy watching the villains more than playing them.
My main problem with playing villains is maintaining their power level. I personally think that villains should be stronger than heroes, but weaker than the combined strength of the team. In the games I run, if any hero tried to take the villain solo they'd probably fail, but if they work together as a team, they should win.
Of course, in most games, the players all need to be on equal footing. We can't give one player more power than the others, even if they're evil. Plus, it defeats one of the main points of playing a game: having fun. If someone plays the villain while everyone else is a hero, that one person is excluded from the group, and everyone else is against them. And we're all friends here, and don't want to turn on each other.