It is because we're so use to good prevailing over evil. It's a cliche already, there are no happily ever afters in real life. We know how every movie,book, show etc ends. The good guys wins and gets the girl. I guess we root for the bad guys because we want something different to happen already. I don't know about you but sometimes as a kid I wished the coyote would catch the road runner and eat it, Silvester would catch tweety and tom would catch Jerry (even though Jerry is the cutest).
For thousands of years we have been opressed to believe certain things are wrong and right. So when we find something that we daren't do we fid it appeaking. ' Oh i wish i could do that', 'my god he/she's cool for doing that'.
There is nothing wrong with being 'evil' so to speak. Many 'evil' things nowadays i class as normal everyday minority beings.
Well, most people think that evil characters are sexy. Like for example, everyone thinks Draco Malfoy is sexy and he's...okay he's not really THAT evil but so what? It was the best I had...plus, the dark side has cookies.