It...really depends. Not on the anime, but on the characters themselves. And...there's really no common thread between the characters I like. xD;
For example, Joichiro Nishi (Gantz) is perhaps my all-time favorite anime character, and he's...well, I wouldn't call him a bad guy, per-say, but he's certainly an antagonist (he fights alongside the good guys, but fights only for himself, having a Social Darwinist outlook. He also kills the occasional good guy xD;). He's not really...evil, though, just sort of an ass. xD Hajime (Gantz), however, is a complete psycho. As in, chases bums around with metal baseball bats and kills them, and then later sets up Saw-style traps for the protagonists. Yet he manages to be one of my favorites.
Yu-gi-oh, however, I always liked the good guys. Granted, I liked Kaiba even when he was an antagonist, Noah, and Rex, but they weren't really...bad guys, just people competing against Yugi. Noah's the only true villain I liked in the show.
I don't really watch enough anime to make many more comparisons than that, though. xD;